Density in small time for Lévy processes

DOI10.1051/PS:1997114zbMath0899.60065OpenAlexW1996244325MaRDI QIDQ4386042

Jean Picard

Publication date: 26 April 1998

Published in: ESAIM: Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/104239

zbMATH Keywords

Wiener processLévy processjump processinfinitely divisible law

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Continuous-time Markov processes on general state spaces (60J25) Brownian motion (60J65)

Related Items (21)

Estimates of heat kernels of non-symmetric Lévy processes ⋮ Smoothness of harmonic functions for processes with jumps. ⋮ Support theorem for jump processes. ⋮ TRANSITION DENSITIES OF SUBORDINATORS OF POSITIVE ORDER ⋮ Transition density estimates for diagonal systems of SDEs driven by cylindrical $\alpha$-stable processes ⋮ Non-asymptotic control of the cumulative distribution function of Lévy processes ⋮ High-frequency Donsker theorems for Lévy measures ⋮ Compound kernel estimates for the transition probability density of a Lévy process in $\mathbb R^n$ ⋮ How smooth can the convex hull of a Lévy path be? ⋮ Small-time expansions of the distributions, densities, and option prices of stochastic volatility models with Lévy jumps ⋮ Zooming-in on a Lévy process: failure to observe threshold exceedance over a dense grid ⋮ Lévy processes: concentration function and heat kernel bounds ⋮ Statistical inference for time-changed Lévy processes via composite characteristic function estimation ⋮ Change-point detection for Lévy processes ⋮ ASYMPTOTICS FOR EXPONENTIAL LÉVY PROCESSES AND THEIR VOLATILITY SMILE: SURVEY AND NEW RESULTS ⋮ Density estimate in small time for jump processes with singular Lévy measures ⋮ The invariant distribution of wealth and employment status in a small open economy with precautionary savings ⋮ Estimates on transition densities of subordinators with jumping density decaying in mixed polynomial orders ⋮ On the Estimations of Smooth Densities for Integro-differential Operators ⋮ Small-time expansions for the transition distributions of Lévy processes ⋮ Transition densities of spectrally positive Lévy processes

Cites Work

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• Absolute continuity of infinitely divisible distributions
• Asymptotic behavior of the transition density for jump type processes in small time
• On the existence of smooth densities for jump processes
• Calcul des variations stochastique et processus de sauts
• On a Necessary and Sufficient Condition That an Infinitely Divisible Distribution be Absolutely Continuous

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