  We consider the existence of a classical smooth solution to the backward
Kolmogorov equation \begin{align*} \begin{cases} \partial_t u(t,x)=Au(t,x),&
x\ge0,\ t\in[0,T],\\ u(0,x)=f(x),& x\ge0, \end{cases} \end{align*} where $A$ is
the generator of the CIR process, the solution to the stochastic differential
equation \begin{equation*} X^x_t=x+\int_0^t\theta
\bigl(\kappa-X^x_s\bigr)\,ds+\sigma\int _0^t\sqrt {X^x_s} \,dB_s, \quad x\ge0,\
t\in[0,T], \end{equation*} that is,
$Af(x)=\theta(\kappa-x)f'(x)+\frac{1}{2}\sigma^2xf''(x)$, $ x\ge0$
($\theta,\kappa,\sigma>0$). Alfonsi \cite{Alfonsi} showed that the equation has
a smooth solution with partial derivatives of polynomial growth, provided that
the initial function $f$ is smooth with derivatives of polynomial growth. His
proof was mainly based on the analytical formula for the transition density of
the CIR process in the form of a~rather complicated function series. In this
paper, for a CIR process satisfying the condition $\sigma^2\le4\theta\kappa$,
we present a direct proof based on the representation of a CIR process in terms
of a~squared Bessel process and its additivity property.
