Expansion of transition distributions of Levy processes in small time

Bernoulli

Volumn 8, Issue 1, 2002, Pages 81-96

  Rüschendorf, Ludger ^a   Woerner, Jeannette H C ^a  

^a UNIVERSITY OF FREIBURG   (Germany)

Author keywords

L vy processes; Series expansion; Transition density; Transition distribution function

Indexed keywords

EID: 7744239605     PISSN: 13507265     EISSN: None     Source Type: Journal    
DOI: None     Document Type: Article

References (10)

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2. Bertoin, J. (1996) Levy Processes. Cambridge: Cambridge University Press.
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4. Kruglov, V. M. (1970) A note on infinitely divisible distributions. Theory Probab. Appl., 15, 319-324.
5. Léandre, R. (1987) Densité en temps petit d'un processus de sauts. In J. Azéma, P.A. Meyer and M. Yor (eds), Séminaire de Probabilités XXI, Lecture Notes in Math. 1247. Berlin: Springer-Verlag.
6. Orey, S. (1968) On continuity properties of infinitely divisible functions. Ann. Math. Statist., 39, 936-937.
7. Picard, J. (1997) Density in small time for Levy processes. ESAIM Probab. Statist., 1, 357-389.
8. Sato, K. (1973) A note on infinitely divisible distributions and their Levy measures. Sci. Rep. Tokyo Kyoiku Daigaku Sect. A, 12, 101-109.
9. Sato, K. (1999) Levy Processes and Infinitely Divisible Distributions. Cambridge: Cambridge University Press.
10. Zolotarev, V.M. (1965) Asymptotic behavior of the distributions of processes with independent increments. Theory Probab. Appl., 10, 28-44.