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Transition density estimates for jump Lévy processes

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  • Sztonyk, Pawel

Abstract

Upper estimates of densities of convolution semigroups of probability measures are given under explicit assumptions on the corresponding Lévy measure and the Lévy-Khinchin exponent.

Suggested Citation

  • Sztonyk, Pawel, 2011. "Transition density estimates for jump Lévy processes," Stochastic Processes and their Applications, Elsevier, vol. 121(6), pages 1245-1265, June.
  • Handle: RePEc:eee:spapps:v:121:y:2011:i:6:p:1245-1265
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    References listed on IDEAS

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    1. Peter Carr & Hélyette Geman & Dilip B. Madan & Marc Yor, 2003. "Stochastic Volatility for Lévy Processes," Mathematical Finance, Wiley Blackwell, vol. 13(3), pages 345-382.
    2. Chen, Zhen-Qing & Kumagai, Takashi, 2003. "Heat kernel estimates for stable-like processes on d-sets," Stochastic Processes and their Applications, Elsevier, vol. 108(1), pages 27-62, November.
    3. Rosinski, Jan, 2007. "Tempering stable processes," Stochastic Processes and their Applications, Elsevier, vol. 117(6), pages 677-707, June.
    4. Peter Carr & Helyette Geman, 2002. "The Fine Structure of Asset Returns: An Empirical Investigation," The Journal of Business, University of Chicago Press, vol. 75(2), pages 305-332, April.
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    Cited by:

    1. Kim, Kyung-Youn & Kim, Panki, 2014. "Two-sided estimates for the transition densities of symmetric Markov processes dominated by stable-like processes in C1,η open sets," Stochastic Processes and their Applications, Elsevier, vol. 124(9), pages 3055-3083.
    2. Kaleta, Kamil & Lőrinczi, József, 2012. "Fractional P(ϕ)1-processes and Gibbs measures," Stochastic Processes and their Applications, Elsevier, vol. 122(10), pages 3580-3617.
    3. Bogdan, Krzysztof & Grzywny, Tomasz & Ryznar, Michał, 2014. "Dirichlet heat kernel for unimodal Lévy processes," Stochastic Processes and their Applications, Elsevier, vol. 124(11), pages 3612-3650.

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