Techniques to Study the Density
In the previous chapters we started studying the density of some Lévy processes using some ad-hoc techniques (see e.g. Exercises 4.1.23 and 5.1.17). In order to study densities of random variables there are many different techniques. We will briefly describe some of them in this chapter. Most of these techniques are analytic in nature and they give a different range of results. We concentrate here on the multi-dimensional results, while in Chap. 1 some basic results were discussed in the one-dimensional case.