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Transition densities of spectrally positive L\'evy processes

Probability 2020-07-01 v1

Abstract

We prove asymptotic behaviour of transition density for a large class of spectrally one-sided L\'evy processes of unbounded variation satisfying mild condition imposed on the second derivative of the Laplace exponent, or equivalently, on the real part of the characteristic exponent. We also provide sharp two-sided estimates on the density when restricted additionally to processes without Gaussian component.

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Cite

@article{arxiv.2006.16398,
  title  = {Transition densities of spectrally positive L\'evy processes},
  author = {Łukasz Leżaj},
  journal= {arXiv preprint arXiv:2006.16398},
  year   = {2020}
}

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23 pages