 Squared Bessel process

A squared Bessel process of dimension $\delta \ge 0$ is a nonnegative continuous solution of the displayed stochastic differential equation. It extends the squared radial part of integer-dimensional Brownian motion to arbitrary nonnegative dimensions. Before hitting zero its square root solves $dR=dB+(\delta -1)(2R{)}^{-1}dt$. At dimension zero, a process started at zero remains there. The coefficients are not Lipschitz at zero, so positivity or uniqueness must not be justified by a global Lipschitz theorem.