Related papers: Fluctuations of Multi-Dimensional Kingman-L\'Evy P…
Einstein-Smoluchowski diffusion, damped harmonic oscillations, and spatial decoherence are special cases of an elegant class of Markovian quantum Brownian motion models that is invariant under linear symplectic transformations. Here we…
In this paper, we first explore certain structural properties of L\'evy flows and use this information to obtain the existence of strong solutions to a class of Stochastic PDEs in the space of tempered distributions, driven by L\'evy noise.…
The time evolution of complex systems usually can be described through stochastic processes. These processes are measured at finite resolution, what necessarily reduces them to finite sequences of real numbers. In order to relate these data…
We introduce G-L\'{e}vy processes which develop the theory of processes with independent and stationary increments under the framework of sublinear expectations. We then obtain the L\'{e}vy-Khintchine formula and the existence for…
We study the composition of bivariate L\'evy process with bivariate inverse subordinator. The explicit expressions for its dispersion and auto correlation matrices are obtained. Also, the time-changed two parameter L\'evy processes with…
Upper estimates of densities of convolution semigroups of probability measures are given under explicit assumptions on the corresponding L\'evy measure and the L\'evy--Khinchin exponent.
This paper introduces Switching Processes, called SP. Their constructions are inspired by the PDMP's ones (PDMP stands for Piecewise Deterministic Markov Process). A Markov process, called the intrinsic process, replaces the PDMP's flow.…
This paper investigates the Gaussian quasi-likelihood estimation of an exponentially ergodic multidimensional Markov process, which is expressed as a solution to a L\'{e}vy driven stochastic differential equation whose coefficients are…
A spectral representation for regularly varying L\'evy processes with index between one and two is established and the properties of the resulting random noise are discussed in detail giving also new insight in the $L^2$-case where the…
We propose a second order differential calculus to analyze the regularity and the stability properties of the distribution semigroup associated with McKean-Vlasov diffusions. This methodology provides second order Taylor type expansions…
Fluctuation properties of the Langevin equation including a multiplicative, power-law noise and a quadratic potential are discussed. The noise has the Levy stable distribution. If this distribution is truncated, the covariance can be…
We introduce flows of branching processes with competition, which describe the evolution of general continuous state branching populations in which interactions between individuals give rise to a negative density dependence term. This…
This article refines the classical notion of a stochastic D-bifurcation to the respective family of n-point motions for homogeneous Markovian stochastic semiflows, such as stochastic Brownian flows of homeomorphisms, and their…
Long-time limit of one-dimensional L\'{e}vy processes weighted and normalized with respect to the exponential functional of two-point local times are studied. The limit processes may vary according to the choice of random clocks.
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…
We establish a connection between the scattering inverse problem and the determination of the distribution of the position of the Levy process at the exit time of a bounded interval in term of its Levy exponent.
We investigate the dynamics of the two-dimensional periodic Kolmogorov flow of a viscoelastic fluid, described by the Oldroyd-B model, by means of direct numerical simulations. Above a critical Weissenberg number the flow displays a…
We present a satisfactory definition of the important class of L\'evy processes indexed by a general collection of sets. We use a new definition for increment stationarity of set-indexed processes to obtain different characterizations of…
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…
We study stochastic tree fluid networks driven by a multidimensional Levy process. We are interested in (the joint distribution of) the steady-state content in each of the buffers, the busy periods, and the idle periods. To investigate…