scientific article; zbMATH DE number 3998925

zbMath0616.60078MaRDI QIDQ4725453

Rémi Léandre

Publication date: 1987

Full work available at URL: http://www.numdam.org/item?id=SPS_1987__21__81_0

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zbMATH Keywords

Malliavin calculusjump processesestimates of density

Mathematics Subject Classification ID

Related Items (19)

Strict positivity of the density for simple jump processes using the tools of support theorems. Application to the Kac equation without cutoff ⋮ Estimates of heat kernels of non-symmetric Lévy processes ⋮ On a Lévy process pinned at random time ⋮ Small-time expansions for state-dependent local jump-diffusion models with infinite jump activity ⋮ Asymptotic behavior of the transition density for jump type processes in small time ⋮ Non-asymptotic control of the cumulative distribution function of Lévy processes ⋮ Asymptotical properties of distributions of isotropic Lévy processes ⋮ Small-time sharp bounds for kernels of convolution semigroups ⋮ Density in small time at accessible points for jump processes ⋮ Small-time asymptotics of stopped Lévy bridges and simulation schemes with controlled bias ⋮ Small-time expansions for local jump-diffusion models with infinite jump activity ⋮ Asymptotic behavior of densities of unimodal convolution semigroups ⋮ Zooming-in on a Lévy process: failure to observe threshold exceedance over a dense grid ⋮ Lévy processes: concentration function and heat kernel bounds ⋮ Short-Time Expansions for Call Options on Leveraged ETFs Under Exponential Lévy Models with Local Volatility ⋮ Density in small time for Lévy processes ⋮ Density estimate in small time for jump processes with singular Lévy measures ⋮ Probability measures, Lévy measures and analyticity in time ⋮ Small-time expansions for the transition distributions of Lévy processes

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