arXiv (Cornell University) · 2010 · 38 citations · 13 references
EngineeringMathematicsProbability TheoryStochastic ProcessesContinuous-time Stochastic ProcessesLimit TheoremsLévy ProcessesMarkov ProcessesCharacteristic ExponentsTransition Density EstimationTransition Probability Analysis
We prove several necessary and sufficient conditions for the existence of (smooth) transition probability densities for Lévy processes and isotropic Lévy processes. Under some mild conditions on the characteristic exponent we calculate the asymptotic behaviour of the transition density as $t\to 0$ and $t\to\infty$ and show a ratio-limit theorem.
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<i>Harmonic Analysis and the Theory of Probability</i>
Salomon Bochner, T. Teichmann · Physics Today · 1956 · 570 citations
J. Rosiński · Stochastic Processes and their Applications · 2006 · 563 citations