Project Euclid (Cornell University) · 2002 · 57 citations · 2 references
EngineeringMathematicsProbability TheoryStochastic ProcessesTime Series AnalysisCharacteristic FunctionsContinuous-time Stochastic ProcessesLévy ProcessesMarkov ProcessesStochastic CalculusDensityExpansionLévy MeasureTransition Density Estimation
We establish for small time t a series expansion of the transition density and the transition distribution function of Lévy processes in terms of the density and the spectral function of the Lévy measure, respectively. Furthermore, the integrals ith respect tothe distribution function weighted by 1/t are proved to converge to the integral ith respect tothe spectral function of the Lévy measure, when the integrated function does not increase too fast and t → 0.
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