Fourier-Bessel heat kernel estimates
Jacek Malecki, Grzegorz Serafin, Tomasz Zorawik
TL;DR
This paper derives precise two-sided estimates for the Fourier-Bessel heat kernel and the transition probability density of the Bessel process in (0,1) with various boundary conditions.
Contribution
It provides sharp two-sided estimates for the Fourier-Bessel heat kernel and Bessel process transition densities, advancing understanding of these stochastic processes.
Findings
Sharp two-sided estimates for Fourier-Bessel heat kernel
Precise bounds for Bessel process transition densities
Results applicable to killed and reflected boundary conditions
Abstract
We provide sharp two-sided estimates of the Fourier-Bessel heat kernel and we give sharp two-sided estimates of the transition probability density for the Bessel process in (0,1) killed at 1 and killed or reflected at 0.
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Taxonomy
TopicsStochastic processes and financial applications · advanced mathematical theories · Numerical methods in inverse problems