Transition densities of spectrally positive Lévy processes

DOI10.1007/S10986-021-09549-2MaRDI QIDQ2113615zbMATH OpenOpenAlexFDO

Authors Łukasz Leżaj

Publication date 14 March 2022

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

Copyright license Creative Commons Attribution 4.0 International

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

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)

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.

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Cited in

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