Related papers: Penalising symmetric stable L\'evy paths

In this paper, we will prove that the local time of a L\'evy process is of finite $p$-variation in the space variable in the classical sense, a.s. for any $p>2$, $t\geq 0$, if the L\'evy measure satisfies $\int_{R\setminus…

We prove that the ground state eigenfunction for symmetric stable processes of order $\alpha\in (0, 2)$ killed upon leaving the interval $(-1, 1)$ is concave on $(-{1/2}, {1/2})$. We call this property "mid--concavity." A similar statement…

In this note, we consider the construction of a one-dimensional stable Langevin type process confined in the upper half-plane and submitted to reflective-diffusive boundary conditions whenever the particle position hits 0. We show that two…

This paper studies an optimal stopping problem for L\'evy processes. We give a justification of the form of the Snell envelope using standard results of optimal stopping. We also justify the convexity of the value function, and without a…

Let $X=\{X_{t},t\in R_{+}\}$ be a symmetric L\'evy process with local time $\{L^{x}_{t} ; (x,t)\in R^{1}\times R^{1}_{+}\}$. When the L\'evy exponent $\psi(\la)$ is regularly varying at infinity with index $1<\beta\leq 2$ and satisfies some…

In this paper we present new theoretical results on optimal estimation of certain random quantities based on high frequency observations of a L\'evy process. More specifically, we investigate the asymptotic theory for the conditional mean…

Let ${\mathcal A}$ be the ${\mathcal L}^q-$functional of a stable L\'evy process starting from one and killed when crossing zero. We observe that ${\mathcal A}$ can be represented as the independent quotient of two infinite products of…

We establish two results about local times of spectrally positive stable processes. The first is a general approximation result, uniform in space and on compact time intervals, in a model where each jump of the stable process may be marked…

Infinite horizon optimal stopping problems for a L\'evy processes with a two-sided reward function are considered. A two-sided verification theorem is presented in terms of the overall supremum and the overall infimum of the process. A…

In these notes, uniform convergence on compacta is studied on the space of functions taking values in the set of finite Borel measures. Related limit theorems, including L\'evy's continuity theorem and functional limit theorems for…

``Orderly divergence'' deals with limit theorems for weighted stochastic Gamma integrals of otherwise nonintegrable functions. Although for monotonic functions this category usually coincides with the classical notion of weighted limit…

A multiplicative identity in law connecting the hitting times of completely asymmetric $\alpha-$stable L\'evy processes in duality is established. In the spectrally positive case, this identity allows with an elementary argument to compute…

The approximation of integral type functionals is studied for discrete observations of a continuous It\^o semimartingale. Based on novel approximations in the Fourier domain, central limit theorems are proved for $L^2$-Sobolev functions…

We study the central limit theorem in the non-normal domain of attraction to symmetric $\alpha$-stable laws for $0<\alpha\leq2$. We show that for i.i.d. random variables $X_i$, the convergence rate in $L^\infty$ of both the densities and…

For a local maximal function defined on a certain family of cubes lying ``well inside'' of $\Omega$, a proper open subset of $\mathbb R ^n$, we characterize the couple of weights $(u,v)$ for which it is bounded from $L^p(v)$ on $L^q(u)$.

We consider renewal shot noise processes with response functions which are eventually nondecreasing and regularly varying at infinity. We prove weak convergence of renewal shot noise processes, properly normalized and centered, in the space…

We give an explicit bound for the $L_1$-distance between two additive processes of local characteristics $(f_j(\cdot),\sigma^2(\cdot),\nu_j)$, $j = 1,2$. The cases $\sigma =0$ and $\sigma > 0$ are both treated. We allow $\nu_1$ and $\nu_2$…

In this article, the authors establish a general (two-weight) boundedness criterion for a pair of functions, $(F,f)$, on $\mathbb{R}^n$ in the scale of weighted Lebesgue spaces, weighted Lorentz spaces, (Lorentz--)Morrey spaces, and…

In this paper we present some limit theorems for power variation of L\'evy semi-stationary processes in the setting of infill asymptotics. L\'evy semi-stationary processes, which are a one-dimensional analogue of ambit fields, are moving…

In this note we investigate the behaviour of Brownian motion conditioned on a growth constraint of its local time which has been previously investigated by Berestycki and Benjamini. For a class of non-decreasing positive functions $f(t);…