On the Estimates of the Density of the Purely Discontinuous Girsanov Transforms of α-Stable-like Processes

2006/11/19 by Chunlin Wang, Wang, Chunlin
Economics, Econometrics and Finance · Mathematics · #47J20 #60J40 #FOS: Mathematics #Mathematical Dynamics and Fractals #Primary 60J45 #Probability (math.PR) #Secondary 35J10 #Stochastic processes and financial applications #advanced mathematical theories #math.PR #msc:35J10 #msc:47J20 #msc:60J40 #msc:60J45

paper · pdf · doi:10.48550/arxiv.math/0611566

33 pages

arxiv created 2006/11/19 · openalex publication_date 2006/11/19 · arxiv updated 2009/12/01 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

In this paper, we study the purely discontinuous Girsanov transforms which were discussed in Chen and Song \citeCS2 and Song \citeS3. We show that the transition density of any purely discontinuous Girsanov transform of a α-stable-like process, which can be nonsymmetric, is comparable to the transition density of the α-stable-like process.

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