Bismut-Elworthy-Li formulae for Bessel processes

In this article we are interested in the differentiability property of the Markovian semi-group corresponding to the Bessel processes of nonnegative dimension. More precisely, for all $\delta \geq 0$ and $T>0$, we compute the derivative of the function $x \mapsto P^{\delta}_{T} F (x)$, where $(P^{\delta}_{t})_{t \geq 0}$ is the transition semi-group associated to the $\delta$ - dimensional Bessel process, and $F$ is any bounded Borel function on $\mathbb{R}_{+}$. The obtained expression shows a nice interplay between the transition semi-groups of the $\delta$ - and the $(\delta + 2)$-dimensional Bessel processes. As a consequence, we deduce that the Bessel processes satisfy the strong Feller property, with a continuity modulus which is independent of the dimension. Moreover, we provide a probabilistic interpretation of this expression as a Bismut-Elworthy-Li formula.