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Estimates of densities for Lévy processes with lower intensity of large jumps
Author(s) -
Sztonyk Paweł
Publication year - 2017
Publication title -
mathematische nachrichten
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.913
H-Index - 50
eISSN - 1522-2616
pISSN - 0025-584X
DOI - 10.1002/mana.201500189
Subject(s) - mathematics , jump , lévy process , intensity (physics) , bounded function , exponential growth , exponential function , statistical physics , mathematical analysis , physics , quantum mechanics
We obtain general lower estimates of transition densities of jump Lévy processes. We use them for processes with Lévy measures having bounded support, processes with exponentially decaying Lévy measures for large times and for processes with high intensity of small jumps for small times.