A note on the existence of transition probability densities of Lévy processes

Research output: Contribution to journalResearch articleContributedpeer-review

Contributors

Abstract

We prove necessary and sufficient conditions for the existence of (smooth) transition probability densities for Lévy processes and isotropic Lévy processes. Under some mild conditions on the characteristic exponent we calculate the asymptotic behaviour of the transition density as t → 0 and t → ∞ and show a ratio-limit theorem.

Details

Original languageEnglish
Pages (from-to)125-149
Number of pages25
JournalForum mathematicum
Volume25
Issue number1
Publication statusPublished - Jan 2013
Peer-reviewedYes

Keywords

Keywords

  • Absolute continuity, Anisotropic sobolev spaces, Hartman-wintner condition, Monotone rearrangement, Transition probability density, Volume doubling