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Asymptotic behavior of the transition density for jump type processes in small time. (English) Zbl 0818.60074
Let $$x_ t$$ be the Markov process of pure jump type which satisfies the following stochastic differential equation $x_ t(x) = x + \sum_{s \leq t} \gamma \bigl( x_{s-} (x),\;\Delta z(s) \bigr),$ where $$z(t)$$ is an $$R^ d$$-valued Lévy process of pure jump type with the Lévy measure $$h(d \zeta)$$, $$\Delta z(t) = Z(t) - z(t-)$$ and $$\gamma(x,\zeta)$$ is a nondegenerate bounded function from $$R^ d \times R^ d$$ to $$R^ d$$. Under some assumptions on the Lévy measure $$h(d \zeta)$$, this paper provides an estimate on the density $$p_ t (x,y)$$ of the Markov process $$x_ t$$ when the time parameter is small. More precisely, it is proven that as $$t \to 0$$, $p_ t (x,y) \sim C \bigl( x,y, \alpha (x,y) \bigr) t^{\alpha (x,y)},$ where $$\alpha (x,y)$$ can be interpreted roughly as the minimum number of jumps by which the trajectory can reach $$y$$ from $$x$$ $$(x \neq y)$$. This result is a refinement of an earlier results by R. Léandre [Sémin. probabilités XXI, Lect. Notes Math. 1247, 81-99 (1987; Zbl 0616.60078)]. This paper makes use of the theory of Malliavin calculus of jump type and the technique of Léandre’s paper.
Reviewer: R.Song (Ann Arbor)

##### MSC:
 60J75 Jump processes (MSC2010) 60J35 Transition functions, generators and resolvents 60H07 Stochastic calculus of variations and the Malliavin calculus
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##### References:
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