Compound kernel estimates for the transition probability density of a Lévy process in \rn

2013/10/26 by Knopova, V.
#FOS: Mathematics #Probability (math.PR)

paper · doi:10.48550/arxiv.1310.7081

Abstract

We construct in the small-time setting the upper and lower estimates for the transition probability density of a Lévy process in \rn. Our approach relies on the complex analysis technique and the asymptotic analysis of the inverse Fourier transform of the characteristic function of the respective process.

Related

• Intrinsic small time estimates for distribution densities of Lévy processes
• Transition density estimates for a class of Lévy and Lévy-type processes
• Small-time expansions for the transition distributions of Lévy processes
• Estimates of densities for Lévy processes with lower intensity of large jumps
• Density behaviour related to Lévy processes