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Small time expansions for transition probabilities of some Lévy processes


 
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1. Title Title of document Small time expansions for transition probabilities of some Lévy processes
 
2. Creator Author's name, affiliation, country Philippe Marchal; CNRS and DMA, Ecole Normale Supérieure
 
3. Subject Discipline(s)
 
3. Subject Keyword(s) Lévy process, transition probability
 
3. Subject Subject classification 60J30
 
4. Description Abstract We show that there exist Lévy processes $(X_t,t \geq 0)$ and reals $y>0$ such that for small $t$, the probability $P(X_t> y)$ has an expansion involving fractional powers or more general functions of $t$. This constrasts with previous results giving polynomial expansions under additional assumptions.
 
5. Publisher Organizing agency, location
 
6. Contributor Sponsor(s) ANR, grant ATLAS
 
7. Date (YYYY-MM-DD) 2009-03-01
 
8. Type Status & genre Peer-reviewed Article
 
8. Type Type
 
9. Format File format PDF
 
10. Identifier Uniform Resource Identifier http://ecp.ejpecp.org/article/view/1452
 
10. Identifier Digital Object Identifier 10.1214/ECP.v14-1452
 
11. Source Journal/conference title; vol., no. (year) Electronic Communications in Probability; Vol 14
 
12. Language English=en
 
14. Coverage Geo-spatial location, chronological period, research sample (gender, age, etc.)
 
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