Transition density estimates for jump Lévy processes
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- 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.
- 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.
- Rosinski, Jan, 2007. "Tempering stable processes," Stochastic Processes and their Applications, Elsevier, vol. 117(6), pages 677-707, June.
- 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.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- 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.
- 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.
- 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.
More about this item
KeywordsStable process Layered stable process Tempered stable process Semigroup of measures Transition density Heat kernel;
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:spapps:v:121:y:2011:i:6:p:1245-1265. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/505572/description#description .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.