ASYMPTOTIC-BEHAVIOR OF THE TRANSITION DENSITY FOR JUMP TYPE PROCESSESIN SMALL TIME

Authors
Citation
Y. Ishikawa, ASYMPTOTIC-BEHAVIOR OF THE TRANSITION DENSITY FOR JUMP TYPE PROCESSESIN SMALL TIME, Tohoku Mathematical Journal, 46(4), 1994, pp. 443-456
Citations number
12
Language
INGLESE
art.tipo
Article
Categorie Soggetti
Mathematics, General",Mathematics
Journal title
ISSN journal
0040-8735
Volume
46
Issue
4
Year of publication
1994
Pages
443 - 456
Database
ISI
SICI code
0040-8735(1994)46:4<443:AOTTDF>2.0.ZU;2-3
Abstract
The Markov process of pure jump type given by S.D.E. has a smooth dens ity under non-degeneracy conditions both on the coefficient and on the Levy measure of the driving Levy process. In this case we obtain an e stimate of this density when the time parameter is small. In this way we extend the Leandre estimate of the density for pure jump processes.