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2009 Small time expansions for transition probabilities of some Lévy processes
Philippe Marchal
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Electron. Commun. Probab. 14: 132-142 (2009). DOI: 10.1214/ECP.v14-1452

Abstract

We show that there exist Lévy processes $(X_t,t \geq 0)$ and reals $y\gt0$ such that for small $t$, the probability $P(X_t\gt y)$ has an expansion involving fractional powers or more general functions of $t$. This constrasts with previous results giving polynomial expansions under additional assumptions.

Citation

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Philippe Marchal. "Small time expansions for transition probabilities of some Lévy processes." Electron. Commun. Probab. 14 132 - 142, 2009. https://doi.org/10.1214/ECP.v14-1452

Information

Accepted: 1 March 2009; Published: 2009
First available in Project Euclid: 6 June 2016

zbMATH: 1192.60071
MathSciNet: MR2481673
Digital Object Identifier: 10.1214/ECP.v14-1452

Subjects:
Primary: 60J30

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