Exact asymptotic for distribution densities of Lévy functionals

DOI10.1214/EJP.V16-909zbMATH Open1245.60051arXiv0911.4683OpenAlexW2065535995MaRDI QIDQ428523FDOQ428523

Authors: A. M. Kulik, V. Knopova 

Publication date: 22 June 2012

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

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.

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

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zbMATH Keywords

Laplace methodsaddle point methodtransition distribution densityLévy processLévy driven Ornstein-Uhlenbeck process

Mathematics Subject Classification ID

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

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• Distribution tails for solutions of SDE driven by an asymmetric stable Lévy process
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