Exact asymptotic for distribution densities of Lévy functionals

DOI10.1214/EJP.V16-909MaRDI QIDQ428523zbMATH OpenOpenAlexFDO

Authors A. M. Kulik, V. Knopova

Publication date 22 June 2012

Published in Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0911.4683

zbMATH Keywords

Laplace methodLévy driven Ornstein-Uhlenbeck processLévy processsaddle point methodtransition distribution density

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Processes with independent increments; Lévy processes (60G51) Transition functions, generators and resolvents (60J35)

Abstract: A version of the saddle point method is developed, which allows one to describe exactly the asymptotic behavior of distribution densities of Levy driven stochastic integrals with deterministic kernels. Exact asymptotic behavior is established for (a) the transition probability density of a real-valued Levy process; (b) the transition probability density and the invariant distribution density of a Levy driven Ornstein-Uhlenbeck process; (c) the distribution density of the fractional Levy motion.

Recommendations

• Asymptotic behaviour of the distribution density of some Lévy functionals in R^n
• scientific article; zbMATH DE number 1163909
• On the density of exponential functionals of Lévy processes
• Distributional properties of exponential functionals of Lévy processes
• Asymptotic behaviour of the distribution density of the fractional Lévy motion

Cited in

(25)

• Asymptotical properties of distributions of isotropic Lévy processes
• Estimates of heat kernels of non-symmetric Lévy processes
• Progressive intrinsic ultracontractivity and heat kernel estimates for non-local Schrödinger operators
• Density functions of distribution dependent SDEs driven by Lévy noises
• Precise asymptotic approximations for kernels corresponding to Lévy processes
• Estimates of transition densities and their derivatives for jump Lévy processes
• Exact asymptotic expression for the density of multiple stochastic integrals
• Small-time sharp bounds for kernels of convolution semigroups
• Heat kernel asymptotics of the subordinator and subordinate Brownian motion
• Density and tails of unimodal convolution semigroups
• Carleman type inequalities for fractional relativistic operators
• Asymptotic behaviour of the distribution density of some Lévy functionals in R^n
• Compound kernel estimates for the transition probability density of a Lévy process in \(\mathbb R^{n}\)
• Asymptotic behaviour of the distribution density of the fractional Lévy motion
• Estimates of densities for Lévy processes with lower intensity of large jumps
• On ladder height densities and Laguerre series in the study of stochastic functionals. I. Basic methods and results
• Upper estimates of transition densities for stable-dominated semigroups
• ON THE UBIQUITY OF THE LÉVY INTEGRAL — ITS RELATIONSHIP WITH THE GENERALIZED EULER-JACOBI SERIES AND THEIR ASYMPTOTICS BEYOND ALL ORDERS
• Spatial asymptotics at infinity for heat kernels of integro-differential operators
• Lévy flights: Exact results and asymptotics beyond all orders
• Transition density estimates for diagonal systems of SDEs driven by cylindrical -stable processes
• Distribution tails for solutions of SDE driven by an asymmetric stable Lévy process
• Construction and heat kernel estimates of general stable-like Markov processes
• Subexponential potential asymptotics with applications
• Asymptotic behavior of densities of unimodal convolution semigroups

This page was built for publication: Exact asymptotic for distribution densities of Lévy functionals

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q428523)