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In this article, the author studies fundamental Bessel functions for $\mathrm{GL}_n(\mathbb F)$ arising from the Voronoi summation formula for any rank $n$ and field $\mathbb F = \mathbb R$ or $\mathbb C$, with focus on developing their analytic and asymptotic theory. The main implements and subjects of this study of fundamental Bessel functions are their formal integral representations and Bessel differential equations. The author proves the asymptotic formulae for fundamental Bessel functions and explicit connection formulae for the Bessel differential equations.