Tohoku Mathematical Journal
2001
June
SECOND SERIES VOL. 53, NO. 2

Tohoku Math. J.
53 (2001), 183-202

Title DENSITY ESTIMATE IN SMALL TIME FOR JUMP PROCESSES WITH SINGULAR LÉVY MEASURES

Author Yasushi Ishikawa

(Received July 12, 1999, revised July 31, 2000)
Abstract. We consider the asymptotic behaviour of the transition density for processes of jump type as the time parameter $t$ tends to 0. We use Picard's duality method, which allows us to obtain the lower and upper bounds of the density even for the case where the support of Lévy measure is singular. The main result is that, under certain restrictions, the density behaves in polynomial order or may decrease in exponential order as $t \to 0$ according to geometrical conditions of the objective points.

2000 Mathematics Subject Classification. Primary 60J75; Secondary 60J25.

To the top of this page

Back to the Contents