Diagonal Estimates of Transition Densities for Jump Processes in Small Time
Yumi Ishikawa, Rémi Léandre
Abstract
Yumi Ishikawa, Rémi Léandre
Abstract
We study the asymptotic upper and lower bounds of large deviation type for the diagonal of the transition density as the small parameter tends to zero. The density is attached to a certain type of perturbed processes on R d with jumps. The result is expressed using Malliavin calculus of jump type and Girsanov transform of measures.
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We study the asymptotic upper and lower bounds of large deviation type for the diagonal of the transition density as the small parameter tends to zero. The density is attached to a certain type of perturbed processes on R d with jumps. The result is expressed using Malliavin calculus of jump type and Girsanov transform of measures.
Key concepts: Girsanov theorem, Diagonal, Jump, Mathematics, Type (biology), Mathematical analysis, Zero (linguistics), Statistical physics