Transition densities of spectrally positive Lévy processes

2020/06/29 by Leżaj, Łukasz
#60J35 #60J75 #FOS: Mathematics #Probability (math.PR)

paper · doi:10.48550/arxiv.2006.16398

Abstract

We prove asymptotic behaviour of transition density for a large class of spectrally one-sided Lévy processes of unbounded variation satisfying mild condition imposed on the second derivative of the Laplace exponent, or equivalently, on the real part of the characteristic exponent. We also provide sharp two-sided estimates on the density when restricted additionally to processes without Gaussian component.

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