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Motivated by the construction of the It\^o stochastic integral, we consider a step function method to discretize and simulate volatility modulated L\'evy semistationary processes. Moreover, we assess the accuracy of the method with a…
The score function for the diffusion process, also known as the gradient of the log-density, is a basic concept to characterize the probability flow with important applications in the score-based diffusion generative modelling and the…
We present a scaling theory for the effect of thermal fluctuations on the characteristics of the depinning transition, and also in the closely related directed percolation model. Thermal effects act as a sort of external field that produces…
Self-similar processes are useful in modeling diverse phenomena that exhibit scaling properties. Operator scaling allows a different scale factor in each coordinate. This paper develops practical methods for modeling and simulating…
In the study of complex networks (systems), the scaling phenomenon of flow fluctuations refers to a certain power-law between the mean flux (activity) $<F_i>$ of the $i$th node and its variance $\sigma_i$ as $\sigma_i \propto < F_{i} >…
In this paper, we solve exit problems for a L\'evy process that resets proportionally to its current position at independent Poisson epochs times. This resetting causes an additional (proportional to its current level) downward (upward)…
In the context of functional data analysis, probability density functions as non-negative functions are characterized by specific properties of scale invariance and relative scale which enable to represent them with the unit integral…
When is it possible to interpret a given Markov process as a L\'evy-like process? Since the class of L\'evy processes can be defined by the relation between transition probabilities and convolutions, the answer to this question lies in the…
We consider the passage time problem for L\'evy processes, emphasising heavy tailed cases. Results are obtained under quite mild assumptions, namely, drift to $-\infty$ a.s. of the process, possibly at a linear rate (the finite mean case),…
Preliminary results are presented which suggest that scaling and singularity characteristics of solar wind and ground based magnetic fluctuations appear to be a significant component in the solar wind - magnetosphere interaction processes.…
Let $\xi$ be a L\'{e}vy process and $I_\xi(t):=\int_{0}^te^{-\xi_s}\mathrm{d} s$, $t\geq 0,$ be the exponential functional of L\'{e}vy processes on deterministic horizon. Given that $\lim_{t\to \infty}\xi_t=-\infty$ we evaluate for general…
This article deals with IDT processes, i.e. processes which are infinitely divisible with respect to time. Given an IDT process $(X_{t},\,t\geq0)$, there exists a unique (in law) L\'evy process $(L_{t}; t\geq0)$ which has the same…
We obtain Gr\"onwall type estimates for the gradient of the harmonic functions for a L\'evy operator with order strictly larger than 1 and minimal assumptions of its L\'evy measure.
We present an introduction to modern theories of interfacial fluctuations and the associated interfacial parameters: surface tension and surface stiffness, as well as their interpretation within the capillary wave model. Transfer matrix…
We provide analytical tools for pricing power options with exotic features (capped or log payoffs, gap options ...) in the framework of exponential L\'evy models driven by one-sided stable or tempered stable processes. Pricing formulas take…
The effective dynamics of the low-frequency modes is derived for the O(N) symmetric scalar field theory in the broken symmetry phase. The effect of the high-frequency fluctuations is taken into account at one-loop level exactly. A new…
Some systematic general features of y-scaling structure functions, which are essentially independent of detailed dynamics, are pointed out. Their physical interpretation in terms of general characteristics, such as a mean field description…
In the framework of statistical time series analysis of complex dynamics we present a multiscale characterization of solar wind turbulence in the near-Earth environment. The data analysis, based on the Markov-process theory, is meant to…
Classical spectral theory provides powerful tools for analyzing linear operators, but does not extend naturally to nonlinear or compositional settings. In particular, there is no general way to transport spectral invariants in a functorial…
A method for extracting the Levy stability index $\mu$ from the multi-fractal spectrum $f(\alpha)$ in high energy multiparticle production is proposed. This index is an important parameter, characterizing the non-linear behaviour of…