Estimates on transition densities of subordinators with jumping density decaying in mixed polynomial orders

Soobin Cho and Panki Kim

Stochastic Processes and their Applications, 2021, vol. 139, issue C, 229-279

Abstract: In this paper, we discuss estimates on the transition densities of subordinators, which are global in time. We establish sharp two-sided estimates on the transition densities of subordinators whose Lévy measures are absolutely continuous and decaying in mixed polynomial orders. Under a weaker assumption on Lévy measures, we also obtain precise asymptotic behaviors of the transition densities at infinity. Our results cover geometric stable subordinators, Gamma subordinators and much more.

Keywords: Subordinator; Transition density; Transition density estimates; Polynomially decaying Lévy measure (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (1)

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DOI: 10.1016/j.spa.2021.05.005

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