A survey and some generalizations of Bessel processes

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Pricing and Hedging Path-Dependent Options Under the CEV Process (2001, background): “Whittaker functions also appear in similar contexts in Giorno et al. (1986) and Going-Jaeschke and Yor (1999) in connection with the calculation of Laplace transforms of first hitting times of generalized Bessel processes.”
Asymptotic Behavior of the Stock Price Distribution Density and Implied Volatility in Stochastic Volatility Models (2009, methodology): “We refer the reader to [4, 5, 8, 10, 17, 18] for more information on Bessel processes.”
The Skorokhod embedding problem and its offspring (2004, methodology): “We do not give the explicit formulae and refer to Göing-Jaeschke and Yor [45] (see for example the formulae on page 322) for a recent and extensive study which includes the subject.”
Distribution of the time to explosion for one-dimensional diffusions (2013, background): “We refer to [45] and Section 2 in [24] for several pointers to this literature.”
THE SPECTRAL DECOMPOSITION OF THE OPTION VALUE (2004, methodology): “This process is called a radial Ornstein–Uhlenbeck process [32, 78, 82].”
Parameter Estimation for the Square-Root Diffusions: Ergodic and Nonergodic Cases (2012, background): “Göing-Jaeschke and Yor [8] or Lamberton and Lapeyre [16] for more details).”
Bessel processes, the integral of geometric Brownian motion, and Asian options (2003, background): “Nothing seemed to have been known about such densities if ν −1 before [30].”