Related papers: On the Lamperti stable processes
Hyper-Positive real, matrix-valued, rational functions are associated with absolute stability (the Lurie problem). Here, quantitative subsets of Hyper-positive functions, related through nested inclusions, are introduced. Structurally, this…
A family of formal power series, such that its coefficients satisfy a recursion formula, is characterized in terms of the summability, in the sense of J. P. Ramis, of its elements along certain well chosen directions. We describe a set of…
Here we introduce some new classes of discrete stable random variables, which are useful for understanding of a new general notion of stability of random variables called us as casual stability. There are given some examples of casual and…
In our previous publications (IJTAF 2019, Math. Finance 2020), we introduced a general class of SINH-regular processes and demonstrated that efficient numerical methods for the evaluation of the Wiener-Hopf factors and various probability…
We show that alpha stable L\'evy motions can be simulated by any ergodic and aperiodic probability preserving transformation. Namely we show: - for $0<\alpha<1$ and every $\alpha$ stable L\'evy motion $\mathbb{W}$, there exists a function f…
We consider processes which are functions of finite-state Markov chains. It is well known that such processes are rarely Markov. However, such processes are often regular in the following sense: the distant past values of the process have…
We study continuous processes indexed by a special family of graphs. Processes indexed by vertices of graphs are known as probabilistic graphical models. Burdzy and Pal in their paper proposed a continuous version of graphical models --…
This paper is concerned with asymptotic behavior (at zero and at infinity) of the favorite points of L\'evy processes. By exploring Molchan's idea for deriving lower tail probabilities of Gaussian processes with stationary increments, we…
The purpose of this paper is to construct the law of a L\'evy process conditioned to avoid zero, under mild technicals conditions, two of them being that the point zero is regular for itself and the L\'evy process is not a compound Poisson…
We introduce a family of rank functions and related notions of total transcendence for Galois types in abstract elementary classes. We focus, in particular, on abstract elementary classes satisfying the condition know as tameness (currently…
Because of their tractability and their natural interpretations in term of market quantities, Hawkes processes are nowadays widely used in high-frequency finance. However, in practice, the statistical estimation results seem to show that…
This paper discusses a special class of nonlinear Hawkes processes, where the rate function is the exponential function. We call these processes loglinear Hawkes processes. In the main theorem, we give sufficient conditions for explosion…
The stability of a recently developed piecewise flat Ricci flow is investigated, using a linear stability analysis and numerical simulations, and a class of piecewise flat approximations of smooth manifolds is adapted to avoid an inherent…
In this article, we study the potential theory of normal tempered stable process which is obtained by time-changing the Brownian motion with a tempered stable subordinator. Precisely, we study the asymptotic behavior of potential density…
We construct a modified continuous-state branching process whose Malthusian parameter is replaced by another when passing below a certain level. The construction is obtained via a Lamperti-like transform applied to a refracted L\'evy…
We present an extension of a recent characterisation of diagonal Riccati stability and, using this, extend a result of Kraaijevanger on diagonal Lyapunov stability to Riccati stability of time-delay systems. We also describe a class of…
In this paper, we consider the first order Hardy inequalities using simple equalities. This basic setting not only permits to derive quickly many well-known Hardy inequalities with optimal constants, but also supplies improved or new…
We characterise, in terms of their transition laws, the class of one-dimensional L\'evy processes whose graph has a continuously differentiable (planar) convex hull. We show that this phenomenon is exhibited by a broad class of infinite…
We prove the existence of an extremal function in the Hardy-Littlewood-Sobolev inequality for the energy associated to an stable operator. To this aim we obtain a concentration-compactness principle for stable processes in $\mathbb{R}^N$.
In this work characterizations of notions of output stability for uncertain time-varying systems described by retarded functional differential equations are provided. Particularly, characterizations by means of Lyapunov and Razumikhin…