Monotonicity of the reflected Bessel transition density on the diagonal

Van Vo

Stochastic Processes and their Applications, 2014, vol. 124, issue 3, 1368-1407

Abstract: 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.

Keywords: Reflected Bessel process; Heat kernel monotonicity; h-transform; Maximum principle; Log concavity; Rearrangement inequalities (search for similar items in EconPapers)
Date: 2014
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DOI: 10.1016/j.spa.2013.11.006

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