IDEAS home Printed from https://ideas.repec.org/a/spr/jotpro/v23y2010i1d10.1007_s10959-009-0208-8.html
   My bibliography  Save this article

Estimates of Tempered Stable Densities

Author

Listed:
  • Paweł Sztonyk

    (Wrocław University of Technology
    TU Dresden)

Abstract

Estimates of densities of convolution semigroups of probability measures are given under specific assumptions on the corresponding Lévy measure and the Lévy–Khinchin exponent. The assumptions are satisfied, e.g., by tempered stable semigroups of J. Rosiński.

Suggested Citation

  • Paweł Sztonyk, 2010. "Estimates of Tempered Stable Densities," Journal of Theoretical Probability, Springer, vol. 23(1), pages 127-147, March.
    • Handle: RePEc:spr:jotpro:v:23:y:2010:i:1:d:10.1007_s10959-009-0208-8
    DOI: 10.1007/s10959-009-0208-8
    as

    Download full text from publisher

    File URL: http://link.springer.com/10.1007/s10959-009-0208-8
    File Function: Abstract
    Download Restriction: Access to the full text of the articles in this series is restricted.
    File URL: https://libkey.io/10.1007/s10959-009-0208-8?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Chen, Zhen-Qing & Kumagai, Takashi, 2003. "Heat kernel estimates for stable-like processes on d-sets," Stochastic Processes and their Applications, Elsevier, vol. 108(1), pages 27-62, November.
    2. Picard, Jean, 1997. "Density in small time at accessible points for jump processes," Stochastic Processes and their Applications, Elsevier, vol. 67(2), pages 251-279, May.
    3. Rosinski, Jan, 2007. "Tempering stable processes," Stochastic Processes and their Applications, Elsevier, vol. 117(6), pages 677-707, June.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Diego Chamorro & Stéphane Menozzi, 2024. "Non linear singular drifts and fractional operators," Partial Differential Equations and Applications, Springer, vol. 5(6), pages 1-39, December.
    2. Marino, L. & Menozzi, S., 2023. "Weak well-posedness for a class of degenerate Lévy-driven SDEs with Hölder continuous coefficients," Stochastic Processes and their Applications, Elsevier, vol. 162(C), pages 106-170.
    3. Viktorya Knopova & René L. Schilling, 2012. "Transition Density Estimates for a Class of Lévy and Lévy-Type Processes," Journal of Theoretical Probability, Springer, vol. 25(1), pages 144-170, March.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Sztonyk, Pawel, 2011. "Transition density estimates for jump Lévy processes," Stochastic Processes and their Applications, Elsevier, vol. 121(6), pages 1245-1265, June.
    2. Peng Jin, 2021. "Uniqueness in Law for Stable-Like Processes of Variable Order," Journal of Theoretical Probability, Springer, vol. 34(2), pages 522-552, June.
    3. Kim, Panki, 2006. "Weak convergence of censored and reflected stable processes," Stochastic Processes and their Applications, Elsevier, vol. 116(12), pages 1792-1814, December.
    4. Friesen, Martin & Jin, Peng & Rüdiger, Barbara, 2020. "Existence of densities for multi-type continuous-state branching processes with immigration," Stochastic Processes and their Applications, Elsevier, vol. 130(9), pages 5426-5452.
    5. Hounyo, Ulrich & Varneskov, Rasmus T., 2017. "A local stable bootstrap for power variations of pure-jump semimartingales and activity index estimation," Journal of Econometrics, Elsevier, vol. 198(1), pages 10-28.
    6. Wang, Jian, 2011. "Harnack inequalities for Ornstein-Uhlenbeck processes driven by Lévy processes," Statistics & Probability Letters, Elsevier, vol. 81(9), pages 1436-1444, September.
    7. Weidner, Marvin, 2023. "Markov chain approximations for nonsymmetric processes," Stochastic Processes and their Applications, Elsevier, vol. 158(C), pages 238-281.
    8. Gajda, Janusz & Wyłomańska, Agnieszka & Zimroz, Radosław, 2016. "Subordinated continuous-time AR processes and their application to modeling behavior of mechanical system," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 464(C), pages 123-137.
    9. Jorge Gonz'alez C'azares & Aleksandar Mijatovi'c, 2020. "Simulation of the drawdown and its duration in L\'{e}vy models via stick-breaking Gaussian approximation," Papers 2011.06618, arXiv.org, revised Mar 2021.
    10. Feng-Yu Wang & Jian Wang, 2015. "Functional Inequalities for Stable-Like Dirichlet Forms," Journal of Theoretical Probability, Springer, vol. 28(2), pages 423-448, June.
    11. Ishikawa, Yasushi & Kunita, Hiroshi & Tsuchiya, Masaaki, 2018. "Smooth density and its short time estimate for jump process determined by SDE," Stochastic Processes and their Applications, Elsevier, vol. 128(9), pages 3181-3219.
    12. Haruna Okamura & Toshihiro Uemura, 2021. "On Symmetric Stable-Type Processes with Degenerate/Singular Lévy Densities," Journal of Theoretical Probability, Springer, vol. 34(2), pages 809-826, June.
    13. Michele Leonardo Bianchi & Gian Luca Tassinari, 2018. "Forward-looking portfolio selection with multivariate non-Gaussian models and the Esscher transform," Papers 1805.05584, arXiv.org, revised May 2018.
    14. Yassine Sabbar & Mohammad Izadi & Aeshah A. Raezah & Waleed Adel, 2024. "Nonlinear Dynamics of a General Stochastic SIR Model with Behavioral and Physical Changes: Analysis and Application to Zoonotic Tuberculosis," Mathematics, MDPI, vol. 12(13), pages 1-17, June.
    15. Torben G. Andersen & Nicola Fusari & Viktor Todorov & Rasmus T. Varneskov, 2018. "Option Panels in Pure-Jump Settings," CREATES Research Papers 2018-04, Department of Economics and Business Economics, Aarhus University.
    16. Lorenzo Mercuri & Edit Rroji, 2014. "Parametric Risk Parity," Papers 1409.7933, arXiv.org.
    17. Piergiacomo Sabino & Nicola Cufaro Petroni, 2022. "Fast simulation of tempered stable Ornstein–Uhlenbeck processes," Computational Statistics, Springer, vol. 37(5), pages 2517-2551, November.
    18. Ole E. Barndorff-Nielsen & Neil Shephard, 2012. "Basics of Levy processes," Economics Papers 2012-W06, Economics Group, Nuffield College, University of Oxford.
    19. Borak, Szymon & Misiorek, Adam & Weron, Rafał, 2010. "Models for heavy-tailed asset returns," SFB 649 Discussion Papers 2010-049, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    20. Jaehyung Choi & Young Shin Kim & Ivan Mitov, 2014. "Reward-risk momentum strategies using classical tempered stable distribution," Papers 1403.6093, arXiv.org, revised Jun 2015.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:jotpro:v:23:y:2010:i:1:d:10.1007_s10959-009-0208-8. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.