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arxiv: 1310.7081 · v1 · pith:IJOREDX7new · submitted 2013-10-26 · 🧮 math.PR

Compound kernel estimates for the transition probability density of a L\'evy process in rn

classification 🧮 math.PR
keywords processanalysisdensityestimatesprobabilitytransitionapproachasymptotic
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We construct in the small-time setting the upper and lower estimates for the transition probability density of a L\'evy process in $\rn$. Our approach relies on the complex analysis technique and the asymptotic analysis of the inverse Fourier transform of the characteristic function of the respective process.

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