A geometric interpretation of the transition density of a symmetric Lévy process

Research output: Contribution to journalResearch articleContributedpeer-review

Contributors

  • Niels Jacob - , Swansea University (Author)
  • Victorya Knopova - , NASU - Glushkov Institute of Cybernetics (Author)
  • Sandra Landwehr - , Heinrich Heine University Düsseldorf (Author)
  • R. L. Schilling - , Chair of Probability Theory (Author)

Abstract

We study for a class of symmetric Lévy processes with state space ℝ n the transition density p t (x) in terms of two one-parameter families of metrics, (d t) t>0 and (δ t) t>0. The first family of metrics describes the diagonal term p t (0); it is induced by the characteristic exponent ψ of the Lévy process by d t(x,y)=√tψ(x-y). The second and new family of metrics δ t relates to √tψ through the formula,where F denotes the Fourier transform. Thus we obtain the following "Gaussian" representation of the transition density:corresponds to a volume term related to p t(0) and where an √tψ. This gives a complete and new geometric, intrinsic interpretation of p t(x).

Details

Original languageEnglish
Pages (from-to)1099-1126
Number of pages28
JournalScience China : Mathematics
Volume55
Issue number6
Publication statusPublished - Jun 2012
Peer-reviewedYes

Keywords

ASJC Scopus subject areas

Keywords

  • heat kernel bounds, infinitely divisible distributions, Lévy processes, metric measure spaces, self-reciprocal distributions, transition function estimates