A note on the existence of transition probability densities of Lévy processes
Research output: Contribution to journal › Research article › Contributed › peer-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 language | English |
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Pages (from-to) | 125-149 |
Number of pages | 25 |
Journal | Forum mathematicum |
Volume | 25 |
Issue number | 1 |
Publication status | Published - Jan 2013 |
Peer-reviewed | Yes |
Keywords
ASJC Scopus subject areas
Keywords
- Absolute continuity, Anisotropic sobolev spaces, Hartman-wintner condition, Monotone rearrangement, Transition probability density, Volume doubling