Intrinsic small time estimates for distribution densities of Lévy processes

2012/08/07 by Knopova, Victoria, Kulik, Alexei
#FOS: Mathematics #Probability (math.PR)

paper · doi:10.48550/arxiv.1208.1348

Abstract

We construct intrinsic on-and off-diagonal upper and lower estimates for the transition probability density of a Lévy process in small time. By intrinsic we mean that such estimates reflect the structure of the characteristic exponent of the process. The technique used in the paper relies on the asymptotic analysis of the inverse Fourier transform of the respective characteristic function. We provide several examples, in particular, with rather irregular Lévy measure, to illustrate our results.

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