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In this paper, we study an approximation scheme for L\'evy processes with drift in terms of a representation that is akin to the celebrated Mehler formula for L\'evy-Ornstein-Uhlenbeck processes. The approximation scheme is based on a…
Let $\{L(t),t\geq 0\}$ be a L\'{e}vy process with representative random variable $L(1)$ defined by the infinitely divisible logarithmic series distribution. We study here the transition probability and L\'{e}vy measure of this process. We…
We review the probabilistic properties of Ornstein-Uhlenbeck processes in Hilbert spaces driven by L\'{e}vy processes. The emphasis is on the different contexts in which these processes arise, such as stochastic partial differential…
In this paper, we consider the problem of statistical inference for generalized Ornstein-Uhlenbeck processes of the type \[ X_{t} = e^{-\xi_{t}} \left( X_{0} + \int_{0}^{t} e^{\xi_{u-}} d u \right), \] where \(\xi_s\) is a L{\'e}vy process.…
In this article we get simple explicit formulas for $\Exp\sup_{s\leq t}X(s)$ where $X$ is a spectrally positive or negative L\'evy process with infinite variation. As a consequence we derive a generalization of the well-known formula for…
Strongly continuous semigroups of unital completely positive maps (i.e. quantum Markov semigroups or quantum dynamical semigroups) on compact quantum groups are studied. We show that quantum Markov semigroups on the universal or reduced…
The goal of this paper is to derive a formula for the finite dimensional joint characteristic function (the Fourier transform of the finite dimensional distribution) of the coupled process ${(W_{t},L_{t}^{A}):t\in \lbrack 0,\infty)}$, where…
The main purpose of this chapter is to present some theoretical aspects of parametric estimation of L\'evy processes based on high-frequency sampling, with a focus on infinite activity pure-jump models. Asymptotics for several classes of…
Using a new approach, for spectrally negative L\'evy processes we find joint Laplace transforms involving the last exit time (from a semi-infinite interval), the value of the process at the last exit time and the associated occupation time,…
In this paper the linear non linear non homogenous integral equations of H- functions is considered to find a new form of H- function as its solution.The Wiener Hopf technique is used to express a known function into two functions with…
We derive several sets of sufficient conditions for applicability of the new efficient numerical realization of the inverse $Z$-transform. For large $n$, the complexity of the new scheme is dozens of times smaller than the complexity of the…
Several results related to flat Friedmann-Lema\^{\i}tre-Robertson-Walker models in the conformal (Einstein) frame of scalar-tensor gravity theories are extended. Scalar fields with arbitrary (positive) potentials and arbitrary coupling…
We consider a company that receives capital injections so as to avoid ruin. Differently from the classical bail-out settings where the underlying process is restricted to stay at or above zero, we study the case bail-out can only be made at…
We establish a uniform Hausdorff dimension result for the inverse image sets of real-valued strictly $\alpha$-stable L\'evy processes with $1< \alpha\le 2$. This extends a theorem of Kaufman for Brownian motion. Our method is different from…
Recently, a universal formula for a non-holomorphic modular completion of the generating functions of refined BPS indices in various theories with $N=2$ supersymmetry has been suggested. It expresses the completion through the holomorphic…
The distributional support of the sample paths of L\'evy processes is an important issue for the construction of sparse statistical models, theories of integration in infinite dimensions and the existence of generalized solutions of…
We establish precise spectral criteria for potential functions $V$ of reflectionless Schr\"odinger operators $L_V = -\partial_x^2 + V$ to admit solutions to the Korteweg de-Vries (KdV) hierarchy with $V$ as an initial value. More generally,…
We establish a new integral equation for the probability density of the exponential functional of a L\'evy process and provide a three-term (Wiener-Hopf type) factorisation of its law. We explain how these results complement the techniques…
We classify L\'evy processes according to the solution spaces of the associated parabolic PIDEs. This classification reveals structural characteristics of the processes and is relevant for applications such as for solving PIDEs numerically…
Given a spectrally negative L\'evy process and independent Poisson observation times, we consider a periodic barrier strategy that pushes the process down to a certain level whenever it is above it. We also consider the versions with…