We give upper and lower estimates of densities of convolution semigroups of probability measures under explicit assumptions on the corresponding Lévy measure and the Lévy-Khinchin exponent. We obtain also estimates of derivatives of densities.

Abstract. We investigate properties of functions which are harmonic with respect to α-stable processes on d-sets such as the Sierpiński gasket or carpet. We prove the Harnack inequality for such functions. For every process we estimate its transition density and harmonic measure of the ball. We prove continuity of the density of the harmonic measure. We also give some results on the decay rate of harmonic functions on regular subsets of the d-set. In the case of the Sierpiński gasket we even obtain the Boundary Harnack Principle.

We derive explicitly the coupling property for the transition semigroup of a Lévy process and gradient estimates for the associated semigroup of transition operators. This is based on the asymptotic behaviour of the symbol or the characteristic exponent near zero and infinity, respectively. Our results can be applied to a large class of Lévy processes, including stable Lévy processes, layered stable processes, tempered stable processes and relativistic stable processes.