Estimates of Tempered Stable Densities

By Paweł Sztonyk. 2008

59 citations recorded by the source corpus.

Estimates of densities of convolution semigroups of probability measures are given under specific assumptions on the corresponding Lévy measure and the Lévy–Khinchin exponent. The assumptions are satisfied, e.g., by tempered stable semigroups of J. Rosiński.

Subfields: Finance, Mathematical Physics

View Paper: https://www.semanticscholar.org/paper/ba372256b112da3c4bf1fe7635cae487c8d1b629

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In Mathematical Physics

Citations in the corpus

A note on the existence of transition probability densities of Lévy processes (2010, result): “These estimates extend previously known estimates for anisotropic stable and tempered stable processes, see [25], [21] and [24].”
Transition Density Estimates for a Class of Lévy and Lévy-Type Processes (2009, background): “For the transition density estimates for a tempered stable process, see [34] and the references therein.”
Transition density estimates for jump Lévy processes (2010, methodology): “In the present paper we strengthen the results and the methods of [35], which was restricted to symmetric processes and φ ≡ 1.”
Estimates of transition densities and their derivatives for jump Lévy processes (2013, background): “Such examples of Lévy measures were investigated in [31, 30, 15] so we do not repeat here detailed estimates of their densities but we give below some estimates of the derivatives which follow from Theorem 3.”
Tempered stable distributions and processes (2013, unknown): “, in [33, 39, 37, 3].”