Transition density estimates for jump Lévy processes
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.
Volume (Year): 121 (2011)
Issue (Month): 6 (June)
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- 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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- 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.
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