A version of the saddle point method is developed, which allows one to
describe exactly the asymptotic behavior of distribution densities of Levy
driven stochastic integrals with deterministic kernels. Exact asymptotic
behavior is established for (a) the transition probability density of a
real-valued Levy process; (b) the transition probability density and the
invariant distribution density of a Levy driven Ornstein-Uhlenbeck process; (c)
the distribution density of the fractional Levy motion.Comment: Revised versio