Transition densities of spectrally positive Lévy processes

DOI10.1007/S10986-021-09549-2zbMATH Open1485.60073arXiv2006.16398OpenAlexW4220984930MaRDI QIDQ2113615FDOQ2113615

Łukasz Leżaj

Publication date: 14 March 2022

Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)

Abstract: We prove asymptotic behaviour of transition density for a large class of spectrally one-sided L'evy processes of unbounded variation satisfying mild condition imposed on the second derivative of the Laplace exponent, or equivalently, on the real part of the characteristic exponent. We also provide sharp two-sided estimates on the density when restricted additionally to processes without Gaussian component.

Full work available at URL: https://arxiv.org/abs/2006.16398

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zbMATH Keywords

heat kernelLaplace exponentspectrally one-sided Lévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Transition functions, generators and resolvents (60J35)

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Cited In (6)

• Conditional limit theorems for spectrally positive Lévy processes
• Time-changed spectrally positive Lévy processes started from infinity
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• A note on the existence of transition probability densities of Lévy processes
• TRANSITION DENSITIES OF SUBORDINATORS OF POSITIVE ORDER
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