Density in small time at accessible points for jump processes

Jean Picard

Stochastic Processes and their Applications, 1997, vol. 67, issue 2, 251-279

Abstract: We consider a process Yt which is the solution of a stochastic differential equation driven by a Lévy process with an initial condition Y0 = y0. We assume conditions under which Yt has a smooth density for any t > 0. We consider a point y that the process can reach with a finite number of jumps from y0, and prove that, as t tends to 0, the density at this point is of order t[Gamma] for some [Gamma] = [Gamma](y0, y). Some applications to the potential analysis of the process are given.

Keywords: 60J75; 60H07 (search for similar items in EconPapers)
Date: 1997
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Citations: View citations in EconPapers (6)

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