Related papers: Penalising symmetric stable L\'evy paths

We characterize the $L^p(\sigma)\to L^q(\omega)$ boundedness of positive dyadic operators of the form $ T(f\sigma)=\sum_{Q\in\mathscr{D}}\lambda_Q\int_Q f\,\mathrm{d}\sigma\cdot 1_Q, $ and the $L^{p_1}(\sigma_1)\times L^{p_2}(\sigma_2)\to…

For a random walk defined for a doubly infinite sequence of times, we let the time parameter itself be an integer-valued process, and call the orginal process a random walk at random time. We find the scaling limit which generalizes the…

The paper deals with studying a connection of the Littlewood--Offord problem with estimating the concentration functions of some symmetric infinitely divisible distributions. It is shown that the values at zero of the concentration…

Using a generalization of the skew-product representation of planar Brownian motion and the analogue of Spitzer's celebrated asymptotic Theorem for stable processes due to Bertoin and Werner, for which we provide a new easy proof, we obtain…

We prove a general result on a relationship between a limit of normalized numbers of interval crossings by a c\`adl\`ag path and an occupation measure associated with this path. Using this result we define local times of fractional Brownian…

We investigate a functional limit theorem (homogenization) for Reflected Stochastic Differential Equations on a half-plane with stationary coefficients when it is necessary to analyze both the effective Brownian motion and the effective…

Using three hypergeometric identities, we evaluate the harmonic measure of a finite interval and of its complementary for a strictly stable real L{\'e}vy process. This gives a simple and unified proof of several results in the literature,…

Let $\xi_1$, $\xi_2,\ldots$ be i.i.d. random variables of zero mean and finite variance and $\eta_1$, $\eta_2,\ldots$ positive i.i.d. random variables whose distribution belongs to the domain of attraction of an $\alpha$-stable…

Let $\alpha\in(1,\infty)$ and $\mu$ be a regular finite Borel measure on a locally compact abelian group. The paper deals with a general trigonometric approximation problem in $L^\alpha(\mu)$, which arises in prediction theory of…

We develop a general technique for computing functional integrals with fixed area and boundary length constraints. The correct quantum dimensions for the vertex functions are recovered by properly regularizing the Green function. Explicit…

The L\'evy-Ciesielski Construction of Brownian motion is used to determine non-asymptotic estimates for the maximal deviation of increments of a Brownian motion process $(W_{t})_{t\in \left[ 0,T\right] }$ normalized by the global modulus…

Exact results for the first passage time and leapover statistics of symmetric and one-sided Levy flights (LFs) are derived. LFs with stable index alpha are shown to have leapover lengths, that are asymptotically power-law distributed with…

Multistable processes are tangent at each point to a stable process, but where the index of stability and the index of localisability varies along the path. In this work, we give two estimators of the stability and the localisability…

Let $Y$ be a symmetric Borel right process with locally compact state space $T\subseteq R^{1}$ and potential densities $u(x,y)$ with respect to some $\sigma$-finite measure on $T$. Let $g$ and $f$ be finite excessive functions for $ Y$. Set…

This paper is the first part of our survey on various results about the distribution of exponential type Brownian functionals defined as an integral over time of geometric Brownian motion. Several related topics are also mentioned.

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…

Using complex analysis techniques we obtain precise asymptotic approximations for the kernels corresponding to the symmetric $\alpha$-stable processes and their fractional derivatives. We apply our method to general L\'evy processes whose…

The paper contains the proof of $L^p$-weighted norm inequalities for both, martingales square functions and the classical square functions in harmonic analysis of Littlewood-Paley and Lusin. Furthermore, the bounds are completely explicit…

We consider a particle system with weights and the scaling limits derived from its occupation time. We let the particles perform independent recurrent L\'evy motions and we assume that their initial positions and weights are given by a…

Suppose $\alpha$ is a rotationally symmetric norm on $L^{\infty}\left(\mathbb{T}\right) $ and $\beta$ is a "nice" norm on $L^{\infty}\left(\Omega,\mu \right) $ where $\mu$ is a $\sigma$-finite measure on $\Omega$. We prove a version of…