A geometric interpretation of the transition density of a symmetric Lévy process

Abstract: We study for a class of symmetric L'evy processes with state space

n

the transition density

p_{t} (x)

in terms of two one-parameter families of metrics,

(d_{t})_{t > 0}

and

(d e l t a_{t})_{t > 0}

. The first family of metrics describes the diagonal term

p_{t} (0)

; it is induced by the characteristic exponent

p s i

of the L'evy process by

d_{t} (x, y) = s q r t t p s i (x - y)

. The second and new family of metrics

d e l t a_{t}

relates to

s q r t t p s i

through the formula

exp(-delta_t^2(x,y)) = Ff[frac{e^{-tpsi}}{p_t(0)}](x-y)

where

F f

denotes the Fourier transform. Thus we obtain the following "Gaussian" representation of the transition density:

p_{t} (x) = p_{t} (0) e^{- d e l t a_{t}^{2} (x, 0)}

where

p_{t} (0)

corresponds to a volume term related to

s q r t t p s i

and where an "exponential" decay is governed by

d e l t a_{t}^{2}

. This gives a complete and new geometric, intrinsic interpretation of

p_{t} (x)

.

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