Monotonicity of the reflected Bessel transition density on the diagonal

For α∈R, let pR(t,x,x) denote the diagonal of the transition density of the α-Bessel process in (0,1], killed at 0 and reflected at 1. As a function of x, if either α≥3 or α=1, then for t>0, the diagonal is nondecreasing. This monotonicity property fails if 1≠α<3.

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Year of publication:	2014
Authors:	Vo, Van
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 124.2014, 3, p. 1368-1407
Publisher:	Elsevier
Subject:	Reflected Bessel process \| Heat kernel monotonicity \| h-transform \| Maximum principle \| Log concavity \| Rearrangement inequalities

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011065019