Compound kernel estimates for the transition probability density of a Lévy process in $\rn$
Year: 2013
Type: preprint
Abstract: We construct in the small-time setting the upper and lower estimates for the transition probability density of a Lévy 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.
Source: arXiv (Cornell University)
Author: Knopova, V.
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W1995977912