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math.PR2013
The asymptotic behavior of the density of the supremum of Lévy processes
Loïc Chaumont, Jacek Malecki
Let us consider a real Lévy process X whose transition probabilities are absolutely continuous and have bounded densities. Then the law of the past supremum of X before any determi…
math.PR2013★ 1 cited
Sharp estimates of transition probability density for Bessel process in half-line
Kamil Bogus, Jacek Malecki
In this paper we study the Bessel process R_t^{(μ)} with index μ\neq 0 starting from x>0 and killed when it reaches a positive level a, where x>a>0. We provide sharp estimates of t…