EJP Reading Tools

Exact Asymptotic for Distribution Densities of Lévy Functionals

Dublin Core		PKP Metadata Items	Metadata for this Document
1.	Title	Title of document	Exact Asymptotic for Distribution Densities of Lévy Functionals
2.	Creator	Author's name, affiliation, country	Victoria P Knopova; Glushkov Institut of Cybernetics and National Academy of Science of Unkraine; Ukraine
2.	Creator	Author's name, affiliation, country	Alexei M Kulik; National Academy of Sciences of Ukraine; Ukraine
3.	Subject	Discipline(s)
3.	Subject	Keyword(s)	L'evy process, L'evy driven Ornstein-Uhlenbeck process, transition distribution density, saddle point method, Laplace method
3.	Subject	Subject classification	Primary: 60G51. Secondary: 60J35; 60G22.
4.	Description	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.
5.	Publisher	Organizing agency, location
6.	Contributor	Sponsor(s)	V. Knopova: The DAAD scholarship during June -- August 2009, and President scholarship 2009-2010 are gratefully acknowledged. A.M.Kulik was partially supported by the State fund for fundamental researches of Ukraine and the Russian foundation for basic r
7.	Date	(YYYY-MM-DD)	2011-08-10
8.	Type	Status & genre	Peer-reviewed Article
8.	Type	Type
9.	Format	File format	PDF
10.	Identifier	Uniform Resource Identifier	http://ejp.ejpecp.org/article/view/909
10.	Identifier	Digital Object Identifier	10.1214/EJP.v16-909
11.	Source	Journal/conference title; vol., no. (year)	Electronic Journal of Probability; Vol 16
12.	Language	English=en
14.	Coverage	Geo-spatial location, chronological period, research sample (gender, age, etc.)
15.	Rights	Copyright and permissions	The Electronic Journal of Probability applies the Creative Commons Attribution License (CCAL) to all articles we publish in this journal. Under the CCAL, authors retain ownership of the copyright for their article, but authors allow anyone to download, reuse, reprint, modify, distribute, and/or copy articles published in EJP, so long as the original authors and source are credited. This broad license was developed to facilitate open access to, and free use of, original works of all types. Applying this standard license to your work will ensure your right to make your work freely and openly available. Summary of the Creative Commons Attribution License You are free to copy, distribute, display, and perform the work to make derivative works to make commercial use of the work under the following condition of Attribution: others must attribute the work if displayed on the web or stored in any electronic archive by making a link back to the website of EJP via its Digital Object Identifier (DOI), or if published in other media by acknowledging prior publication in this Journal with a precise citation including the DOI. For any further reuse or distribution, the same terms apply. Any of these conditions can be waived by permission of the Corresponding Author.