Related papers: Harmonic analysis of additive Levy processes
The mixed Christoffel-Minkowski problem asks for necessary and sufficient conditions for a Borel measure on the Euclidean unit sphere to be the mixed area measure of some convex bodies, one of which, appearing multiple times, is free and…
There are two natural notions of L\'evy processes in free probability: the first one has free increments with homogeneous distributions and the other has homogeneous transition probabilities. In the two cases one can associate a Nevanlinna…
We give sufficient conditions for existence, uniqueness and ergodicity of invariant measures for Musiela's stochastic partial differential equation with deterministic volatility and a Hilbert space valued driving L\'evy noise. Conditions…
We consider a different $L^p$-Minkowski combination of compact sets in $\mathbb{R}^n$ than the one introduced by Firey and we prove an $L^p$-Brunn-Minkowski inequality, $p \in [0,1]$, for a general class of measures called convex measures…
For a strictly stationary sequence of random vectors in $\mathbb{R}^d$ we study convergence of partial sum processes to L\'evy stable process in the Skorohod space with $J_1$-topology. We identify necessary and sufficient conditions for…
We consider periodic homogenization problems for the L{\'e}vy operators with asymmetric L{\'e}vy densities. The formal asymptotic expansion used for the $\a$-stable (symmetric) L{\'e}vy operators ($\a\in (0,2)$) is not applicable directly…
A dynamical model based on a continuous addition of colored shot noises is presented. The resulting process is colored and non-Gaussian. A general expression for the characteristic function of the process is obtained, which, after a scaling…
Superpositions of Ornstein-Uhlenbeck processes allow a flexible dependence structure, including long range dependence for OU-type processes. Their complex asymptotics are governed by three effects: the behavior of the L\'evy measure both at…
This paper presents an analysis of the stochastic recursion $W_{i+1} = [V_iW_i+Y_i]^+$ that can be interpreted as an autoregressive process of order 1, reflected at 0. We start our exposition by a discussion of the model's stability…
In this paper, we study the mean Li-Yorke chaotic phenomenon along any infinite positive integer sequence for infinite-dimensional random dynamical systems. To be precise, we prove that if an injective continuous infinite-dimensional random…
We analyze two-dimensional (2D) random systems driven by a symmetric L\'{e}vy stable noise which, under the sole influence of external (force) potentials $\Phi (x) $, asymptotically set down at Boltzmann-type thermal equilibria. Such…
We study the small-time asymptotics of sample paths of L\'evy processes and L\'evy-type processes. Namely, we investigate under which conditions the limit $$\limsup_{t \to 0} \frac{1}{f(t)} |X_t-X_0|$$ is finite resp.\ infinite with…
We introduce a general algorithm for the computation of the scale functions of a spectrally negative L\'evy process $X$, based on a natural weak approximation of $X$ via upwards skip-free continuous-time Markov chains with stationary…
Let $\{Y_i,-\infty<i<\infty\}$ be a doubly infinite sequence of identically distributed, negatively dependent random variables under sub-linear expectations, $\{a_i,-\infty<i<\infty\}$ be an absolutely summable sequence of real numbers. In…
Under an appropriate regular variation condition, the affinely normalized partial sums of a sequence of independent and identically distributed random variables converges weakly to a non-Gaussian stable random variable. A functional version…
We generalize Lyapunov's convexity theorem for classical (scalar-valued) measures to quantum (operator-valued) measures. In particular, we show that the range of a nonatomic quantum probability measure is a weak*-closed convex set of…
We obtain a representation of an inhomogeneous Levy process in a Lie group or a homogeneous space in terms of a drift, a matrix function and a measure function. Because the stochastic continuity is not assumed, our result generalizes the…
We develop new representations for the Levy measures of the beta and gamma processes. These representations are manifested in terms of an infinite sum of well-behaved (proper) beta and gamma distributions. Further, we demonstrate how these…
We consider Malliavin calculus based on the It\^o chaos decomposition of square integrable random variables on the L\'evy space. We show that when a random variable satisfies a certain measurability condition, its differentiability and…
In this work we provide a geometric characterization of the measures $\mu$ in $\mathbb R^{n+1}$ with polynomial upper growth of degree $n$ such that the $n$-dimensional Riesz transform $R\mu (x) = \int \frac{x-y}{|x-y|^{n+1}}\,d\mu(y)$…