@article{EJP909,
author = {Victoria Knopova and Alexei Kulik},
title = {Exact Asymptotic for Distribution Densities of Lévy Functionals},
journal = {Electron. J. Probab.},
fjournal = {Electronic Journal of Probability},
volume = {16},
year = {2011},
keywords = {L'evy process, L'evy driven Ornstein-Uhlenbeck process, transition distribution density, saddle point method, Laplace method},
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.},
pages = {no. 52, 1394-1433},
issn = {1083-6489},
doi = {10.1214/EJP.v16-909},
url = {http://ejp.ejpecp.org/article/view/909}}