Appears in collection : Les probabilités de demain 2017

Bessel processes are a one-parameter family of nonnegative diffusion processes with a singular drift. When the parameter (called dimension) is smaller than one, the drift is non-dissipative, and deriving regularity properties for the transition semigroup in such a regime is a very difficult problem in general. In my talk I will show that, nevertheless, the transition semigroups of Bessel processes of dimension between 0 and 1 satisfy a Bismut-Elworthy-Li formula, with the particularity that the martingale term is only in L^{p} for some p more than 1, rather than L^{2} as in the dissipative case. As a consequence some interesting strong Feller bounds can be obtained.