Asymptotic expansion of the nonlocal heat content

Let $\mathbf{X}=\{X_t\}_{t\geq 0}$ be a Lévy process in $\mathbb{R}^d$ and $Ω$ be an open subset of $\mathbb{R}^d$ with finite Lebesgue measure. In this article we consider the quantity $H(t)=\int_Ω \mathbb{P}^x (X_t\inΩ^c) \, \mathrm{d}x$ which is called the heat content. We study its asymptotic expansion for isotropic $α$-stable Lévy processes and more general Lévy processes, under mild assumptions on the characteristic exponent.

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