Related papers: Shifted small deviations and Chung LIL for symmetr…

In this paper, we consider a class of stochastic differential equations driven by symmetric non-degenerate $\alpha$-stable processes (including cylindrical ones) with $\alpha \in (1,2)$. We first establish a quantitative estimate for the…

The L\'evy-stable distribution is the attractor of distributions which hold power laws with infinite variance. This distribution has been used in a variety of research areas, for example in economics it is used to model financial market…

We propose a variety of models of random walk, discrete in space and time, suitable for simulating stable random variables of arbitrary index $\alpha$ ($0< \alpha \le 2$), in the symmetric case. We show that by properly scaled transition to…

Multistable L\'evy motions are extensions of L\'evy motions where the stability index is allowed to vary in time. Several constructions of these processes have been introduced recently, based on Poisson and Ferguson-Klass-LePage series…

We study whether a multivariate L\'evy-driven moving average process can shadow arbitrarily closely any continuous path, starting from the present value of the process, with positive conditional probability, which we call the conditional…

We consider non-degenerate SDEs with a $\beta$-Holder continuous and bounded drift term and driven by a Levy noise $L$ which is of $\alpha$-stable type. If $\alpha \in [1,2)$ and $\beta \in (1 - \frac{\alpha}{2},1) $ we show pathwise…

This article establishes a universal robust limit theorem under a sublinear expectation framework. Under moment and consistency conditions, we show that, for $\alpha \in(1,2)$, the i.i.d. sequence \[ \left \{ \left(…

For a continuous-time random walk $X=\{X_t,t\ge 0\}$ (in general non-Markov), we study the asymptotic behavior, as $t\rightarrow \infty$, of the normalized additive functional $c_t\int_0^{t} f(X_s)ds$, $t\ge 0$. Similarly to the Markov…

We prove several necessary and sufficient conditions for the existence of (smooth) transition probability densities for L\'evy processes and isotropic L\'evy processes. Under some mild conditions on the characteristic exponent we calculate…

Let $\{X, X_n, n\geq 1\}$ be a sequence of independent identically distributed non-degenerate random variables. Put $S_0=0, S_n = \sum^n_{i=1} X_i$ and $V_n^2=\sum^n_{i=1} X_i^2, n\ge 1.$ A weak convergence theorem is established for the…

Let $(X_1, \xi_1), (X_2,\xi_2),\ldots$ be i.i.d.~copies of a pair $(X,\xi)$ where $X$ is a random process with paths in the Skorokhod space $D[0,\infty)$ and $\xi$ is a positive random variable. Define $S_k := \xi_1+\ldots+\xi_k$, $k \in…

This paper is concerned with the small time behaviour of a L\'{e}vy process $X$. In particular, we investigate the {\it stabilities} of the times, $\Tstarb(r)$ and $\Tbarb(r)$, at which $X$, started with $X_0=0$, first leaves the space-time…

In this paper, we shall introduce the Tanaka formula from viewpoint of the Doob-Meyer decomposition. For symmetric L\'evy processes, if the local time exists, Salminen and Yor (2007) obtained the Tanaka formula by using the potential…

Let $X_1,\ldots,X_n$ be an i.i.d. sample from symmetric stable distribution with stability parameter $\alpha$ and scale parameter $\gamma$. Let $\varphi_n$ be the empirical characteristic function. We prove an uniform large deviation…

We consider the conventional Laplace transform of $f(x)$, denoted by $\mathcal{L}[f(x); p]~\equiv~F(p)=\int_{0}^{\infty} e^{-p x} f(x) dx$ with ${\rm \mathfrak{Re}}(p) > 0$. For $0 < \alpha < 1$ we furnish the closed form expressions for…

We consider a one-dimensional diffusion in a stable L\'evy environment. We show that the normalized local time process refocused at the bottom of the standard valley with height $\log t$, $(L_X(t,\mathfrak m_{\log t}+x)/t,x\in \R)$,…

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…

For $\alpha\in (1,2)$, we present a generalized central limit theorem for $\alpha$-stable random variables under sublinear expectation. The foundation of our proof is an interior regularity estimate for partial integro-differential…

Consider a spectrally positive L\'evy process $Z$ with log-Laplace exponent $\Psi$ and a positive continuous function $R$ on $(0,\infty)$. We investigate the entrance from $\infty$ of the process $X$ obtained by changing time in $Z$ with…

Let $X$ be a L\'evy process with absolutely continuous L\'evy measure $\nu$. Small time polynomial expansions of order $n$ in $t$ are obtained for the tails $P(X_{t}\geq{}y)$ of the process, assuming smoothness conditions on the L\'evy…