Exact asymptotic for distribution densities of Levy functionals

Details Exact asymptotic for distribution densities of Levy functionals Exact asymptotic for distribution densities of Levy functionals

2009-11-24

arxiv.org/abs/0911.4683v2

Mathematics

Probability

Revised version

Scientific paper

A version of the saddle point method is developed, which allows one to describe exactly the asymptotic behavior of distribution densities of Levy driven stochastic integrals with deterministic kernels. Exact asymptotic behavior is established for (a) the transition probability density of a real-valued Levy process; (b) the transition probability density and the invariant distribution density of a Levy driven Ornstein-Uhlenbeck process; (c) the distribution density of the fractional Levy motion.

Affiliated with

Also associated with

No associations

Rating

Exact asymptotic for distribution densities of Levy functionals does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Exact asymptotic for distribution densities of Levy functionals, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Exact asymptotic for distribution densities of Levy functionals will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-280289