Expansion of transition distributions of Lévy processes in small time
Rüschendorf, Ludger ; Woerner, Jeannette H.C.
Bernoulli, Tome 8 (2002) no. 2, p. 81-96 / Harvested from Project Euclid
Text on Project Euclid
PDF
Alt PDF
We establish for small time t a series expansion of the transition density and the transition distribution function of Lévy processes in terms of the density and the spectral function of the Lévy measure, respectively. Furthermore, the integrals ith respect tothe distribution function weighted by 1/t are proved to converge to the integral ith respect tothe spectral function of the Lévy measure, when the integrated function does not increase too fast and t → 0.
Publié le : 2002-02-15
Classification:  Lévy processes,  series expansion,  transition density,  transition distribution function 
@article{1078951090,
     author = {R\"uschendorf, Ludger and Woerner, Jeannette H.C.},
     title = {Expansion of transition distributions of L\'evy processes in small time},
     journal = {Bernoulli},
     volume = {8},
     number = {2},
     year = {2002},
     pages = { 81-96},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1078951090}
}

Rüschendorf, Ludger; Woerner, Jeannette H.C. Expansion of transition distributions of Lévy processes in small time. Bernoulli, Tome 8 (2002) no. 2, pp.  81-96. http://gdmltest.u-ga.fr/item/1078951090/