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2011 Exact Asymptotic for Distribution Densities of Lévy Functionals
Victoria Knopova, Alexei Kulik
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Electron. J. Probab. 16: 1394-1433 (2011). DOI: 10.1214/EJP.v16-909

Abstract

A version of the saddle point method is developed, which allows one to describe exactly the asymptotic behavior of distribution densities of Lévy driven stochastic integrals with deterministic kernels. Exact asymptotic behavior is established for (a) the transition probability density of a real-valued Lévy process; (b) the transition probability density and the invariant distribution density of a Lévy driven Ornstein-Uhlenbeck process; (c) the distribution density of the fractional Lévy motion.

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Victoria Knopova. Alexei Kulik. "Exact Asymptotic for Distribution Densities of Lévy Functionals." Electron. J. Probab. 16 1394 - 1433, 2011. https://doi.org/10.1214/EJP.v16-909

Information

Accepted: 10 August 2011; Published: 2011
First available in Project Euclid: 1 June 2016

zbMATH: 1245.60051
MathSciNet: MR2827465
Digital Object Identifier: 10.1214/EJP.v16-909

Subjects:
Primary: 60G51
Secondary: 60G22, 60J35

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Vol.16 • 2011
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