Related papers: On a theorem in multi-parameter potential theory
A new proof for adjoint systems of linear equations is presented. The argument is built on the principles of Algorithmic Differentiation. Application to scalar multiplication sets the base line. Generalization yields adjoint inner vector,…
A multivariate Gauss-Lucas theorem is proved, sharpening and generalizing previous results on this topic. The theorem is stated in terms of a seemingly new notion of convexity. Applications to multivariate stable polynomials are given.
We prove several necessary and sufficient conditions for the existence of (smooth) transition probability densities for L\'evy processes and isotropic L\'evy processes. Under some mild conditions on the characteristic exponent we calculate…
We derive explicit formulas for the Mellin transform and the distribution of the exponential functional for Levy processes with rational Laplace exponent. This extends recent results by Cai and Kou on the processes with hyper-exponential…
We show on- and off-diagonal upper estimates for the transition densities of symmetric Levy and Levy-type processes. To get the an-diagonal estimates we prove a Nash type inequality for the related Dirichlet form. For the off-diagonal…
We consider the spectrally negative Levy processes and determine the joint laws for the quantities such as the first and last passage times over a fixed level, the overshoots and undershoots at first passage, the minimum, the maximum and…
We ask for necessary and sufficient conditions for almost sure finiteness of the perpetual integrals of a Levy process. Zero-one laws are already known for Brownian motion with drift and spectrally one-sided Levy processes. Under the…
We present a time change construction of affine processes with state-space $\mathbb{R}_+^m\times \mathbb{R}^n$. These processes were systematically studied in (Duffie, Filipovi\'c and Schachermayer, 2003) since they contain interesting…
We prove central limit theorems for additive functionals of stationary fields under integrability conditions on the higher-order spectral densities, which are derived using the Holder-Young-Brascamp-Lieb inequality.
The purpose of this review article is to give an up to date account of the theory and application of scale functions for spectrally negative Levy processes. Our review also includes the first extensive overview of how to work numerically…
Levy flights and subdiffusive processes and their properties are discussed. We derive the space- and time-fractional transport equations, and consider their solutions in external potentials. An extensive list of references is included.
In this note, we find a new way to prove several properties of 2-alternating capacities.
In this paper, we give a numerical method for pricing long maturity, path dependent options by using the Markov property for each underlying asset. This enables us to approximate a path dependent option by using some kinds of plain…
We study properties of the Laplace transforms of non-negative additive functionals of Markov chains. We are namely interested in a multiplicative ergodicity property used in [18] to study bifurcating processes with ancestral dependence. We…
L\'evy processes, known for their ability to model complex dynamics with skewness, heavy tails and discontinuities, play a critical role in stochastic modeling across various domains. However, inference for most L\'evy processes, whether in…
We extend the super-replication theorems of [27] in a dynamic setting, both in the num\'eraire-based as well as in the num\'eraire-free setting. For this purpose, we generalize the notion of admissible strategies. In particular, we obtain a…
We study the potential theory of a large class of infinite dimensional L\'evy processes, including Brownian motion on abstract Wiener spaces. The key result is the construction of compact Lyapunov functions, i.e. excessive functions with…
In 1985, Levy used a theorem of Berstein to prove that all hyperbolic topological polynomials are equivalent to complex polynomials. We prove a partial converse to the Berstein-Levy Theorem: given post-critical dynamics that are in a sense…
In this paper we consider storage and inventory systems. Our aim is to apply and review main results of the fluctuation theory of stochastic processes in the context of storage and inventory modeling. We describe systems where the inflow is…
We study the relation between L\'evy processes under nonlinear expectations, nonlinear semigroups and fully nonlinear PDEs. First, we establish a one-to-one relation between nonlinear L\'evy processes and nonlinear Markovian convolution…