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.
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Volume (Year): 121 (2011)
Issue (Month): 6 (June)
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References listed on IDEAS
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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.
- 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.
- 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.
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