Asymptotical properties of distributions of isotropic Lévy processes

Panki Kim and Ante Mimica

Stochastic Processes and their Applications, 2018, vol. 128, issue 8, 2688-2709

Abstract: In this paper, we establish the precise asymptotic behaviors of the tail probability and the transition density of a large class of isotropic Lévy processes when the scaling order is between 0 and 2 including 2. We also obtain the precise asymptotic behaviors of the tail probability of subordinators when the scaling order is between 0 and 1 including 1.

Keywords: Asymptotic; Transition density; Lévy process; Unimodal Lévy process; Heat kernel; Laplace exponent; Lévy measure; Subordinator; Subordinate Brownian motion (search for similar items in EconPapers)
Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:128:y:2018:i:8:p:2688-2709

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DOI: 10.1016/j.spa.2017.09.017

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