Question: Let (ho) be a 0-dimensional squared Bessel process starting at (x), and (T_{0}) its first hitting time of 0 . Prove that (1 / T_{0})

Let $ho$ be a 0-dimensional squared Bessel process starting at $x$, and $T_{0}$ its first hitting time of 0 . Prove that $1 / T_{0}$ follows the exponential law with parameter $x / 2$.

Deduce the probability that $T_{0} \leq t$ from knowledge of \(\mathbb{Q}_{x}^{0}\left(e^{-\lambda ho_{t}}\right) .

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