Asymptotic expansion of the nonlocal heat content

Let $(p_t)_{t\geq 0}$ be a convolution semigroup of probability measures on $\mathbb R^d$ defined by $$\int _{\mathbb R^d} e^{i\langle \xi ,x\rangle }\, p_t(\mathrm d x)= e^{-t\psi (\xi )}, \quad \ \xi \in \mathbb R^d, $$ and let $\Omega $ be an open subs