Large deviation estimate of transition densities for jump processes
From MaRDI portal
The author gives asymptotic upper and lower bounds of deviation type for the transition density of a jump type process on \(\mathbb R^d\), which is composed of stable-like processes on the line and vector field on \(\mathbb R^d\). To do this he uses the theory of Malliavin calculus both for diffusion and for jump type processes. In the case where there is no drift, the upper and lower bounds coincide.
Recommendations
Cited in
(11)- Asymptotic behavior of the transition density for jump type processes in small time
- Asymptotic expansions of transition densities for hybrid jump-diffusions
- On a transformation between distributions obeying the principle of a single big jump
- Density estimates for jump diffusion processes
- Large deviations for SPDEs of jump type
- Large deviations for Markov bridges with jumps
- Large deviations for processes in random environments with jumps
- scientific article; zbMATH DE number 1121864 (Why is no real title available?)
- Symmetric Stable Laws and Stable-Like Jump-Diffusions
- scientific article; zbMATH DE number 847812 (Why is no real title available?)
- Density estimate in small time for jump processes with singular Lévy measures
This page was built for publication: Large deviation estimate of transition densities for jump processes
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1359050)
