Related papers: On the Lamperti stable processes
We derive an explicit representation for the transition law of a $p$-tempered $\alpha$-stable process of Ornstein-Uhlenbeck-type and use it to develop a methodology for simulation. Our results apply in both the univariate and multivariate…
Several long-time limit theorems of one-dimensional L\'evy processes weighted and normalized by functions of its supremum are studied. The long-time limits are taken via the families of exponential times and that of constant times, called…
In the present paper, we introduce so-called operator-stable-like processes. Roughly speaking, they behave locally like operator-stable processes, but they need not to be homogenous in space. Having shown existence for this class of…
The present paper is an addendum to the paper ``L\'evy models amenable to efficient calculations", where we introduced a general class of Stieltjes-L\'evy processes (SL-processes) and signed SL processes defined in terms of certain…
We consider a process $Z$ on the real line composed from a L\'evy process and its exponentially tilted version killed with arbitrary rates and give an expression for the joint law of $Z$ seen from its supremum, the supremum $\overline Z$…
In this paper, we obtain a Lamperti type representation for real-valued self-similar Markov processes, killed at their hitting time of zero. Namely, we represent real-valued self-similar Markov processes as time changed multiplicative…
The last couple of years has seen a remarkable number of new, explicit examples of the Wiener-Hopf factorization for Levy processes where previously there had been very few. We mention in particular the many cases of spectrally negative…
We develop a comprehensive theory of the stable representation categories of several sequences of groups, including the classical and symmetric groups, and their relation to the unstable categories. An important component of this theory is…
For any two-sided jumping $\alpha$-stable process, where $1 < \alpha < 2$, we find an explicit identity for the law of the first hitting time of the origin. This complements existing work in the symmetric case and the spectrally one-sided…
We prove some new results regarding the boundedness, stability and attractivity of the solutions of a class of initial-boundary-value problems characterized by a quasi-linear third order equation which may contain time-dependent…
We consider random walks and L\'evy processes in a homogeneous group $G$. For all $p > 0$, we completely characterise (almost) all $G$-valued L\'evy processes whose sample paths have finite $p$-variation, and give sufficient conditions…
Starting from the potential theoretic definition of the local times of a Markov process - when these exist - we obtain a Tanaka formula for the local times of symmetric L\'{e}vy processes. The most interesting case is that of the symmetric…
We present sufficient conditions for the transience and the existence of local times of a Feller process, and the ultracontractivity of the associated Feller semigroup; these conditions are sharp for L\'{e}vy processes. The proof uses a…
This paper presents a logical approach to the translation of functional calculi into concurrent process calculi. The starting point is a type system for the {\pi}-calculus closely related to linear logic. Decompositions of intuitionistic…
We determine the asymptotic behavior of the realized power variations, or more generally of sums of a given test function evaluated at the successive increments of a L\'{e}vy process. One can completely elucidate the first order behavior…
The present study provides another look on Lamperti's theorem on recurrence or transience of stochastic sequences. We establish connection between Lamperti's theorem and the recent result by the author [V. M. Abramov, Theor. Probab. Math.…
We obtain a vector-valued subordination principle for $(g_{\alpha}, g_{\alpha})$-regularized resolvent families which unified and improves various previous results in the literature. As a consequence we establish new relations between…
We provide series expansions for the tempered stable densities and for the price of European-style contracts in the exponential L\'evy model driven by the tempered stable process. These formulas recover several popular option pricing…
Existence and stability properties are studied for Hawkes process, i.e. point process $S$ that has long-memory and intensity $r(t)=\lambda \big(g_0(t)+ \sum_{\tau<t, \tau \in S} h(t-\tau) \big)$. The approach to Hawkes process presented in…
In [16], under mild conditions, a Wiener-Hopf type factorization is derived for the exponential functional of proper L\'evy processes. In this paper, we extend this factorization by relaxing a finite moment assumption as well as by…