Transition density estimates for jump Lévy processes

By Paweł Sztonyk. 2010

47 citations recorded by the source corpus.

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

Subfields: Finance, Management Science and Operations Research, Mathematical Physics

View Paper: https://www.semanticscholar.org/paper/4742937930ef18ae4ff8ffeaf6eaf43b70b90ae4

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In Finance

In Management Science and Operations Research

In Mathematical Physics

Citations in the corpus

Heat kernel estimates for subordinate Brownian motions (2015, methodology): “For pure jump symmetric processes with stable-like jumping kernels on Z or R sharp heat kernel estimates were obtained in [2, 8, 10], while in [6, 15, 16, 19, 28] they were obtained for some classes of Lévy processes.”
Estimates of transition densities and their derivatives for jump Lévy processes (2013, background): “We extended these results in [31] to estimates of densities and in the following lemma we use the results of [31] in our new more general context.”
Density and tails of unimodal convolution semigroups (2013, background): “Estimates and references to anisotropic ν with prescribed radial decay and rough spherical marginals may be found in [28] (see also [7, 31] for more details in the case of homogeneous anisotropic ν).”
Dirichlet heat kernel for unimodal Lévy processes (2014, background): “Lastly, rather optimal isotropic upper bounds of p(t, x, y) for a class of strongly anisotropic Lévy-type operators were given in [46].”