Related papers: On Wiener-Hopf factors for stable processes
We study the Wiener--Hopf factorization and the distribution of extrema for general stable processes. By connecting the Wiener--Hopf factors with a certain elliptic-like function we are able to obtain many explicit and general results, such…
We study the exit time $\tau=\tau_{(0,\infty)}$ for 1-dimensional strictly stable processes and express its Laplace transform at $t^\alpha$ as the Laplace transform of a positive random variable with explicit density. Consequently, $\tau$…
We establish sufficient conditions for the existence, and derive explicit formulas for the $\kappa$'th moments, $\kappa \geq 1$, of Markov modulated generalized Ornstein-Uhlenbeck processes as well as their stationary distributions. In…
Extending earlier work by Rogers, Wiener-Hopf factorisation is studied for a class of functions closely related to Nevanlinna-Pick functions and complete Bernstein functions. The name 'Rogers functions' is proposed for this class. Under…
We consider a pair of coupled queues driven by independent spectrally-positive Levy processes. With respect to the bi-variate workload process this framework includes both the coupled processor model and the two-server fluid network with…
We characterize all possible independent symmetric alpha-stable (SaS) components of an SaS process, 0<alpha<2. In particular, we focus on stationary SaS processes and their independent stationary SaS components. We also develop a parallel…
We consider the stationary (time-independent) Navier-Stokes equations in the whole threedimensional space, under the action of a source term and with the fractional Laplacian operator (--$\Delta$) $\alpha$/2 in the diffusion term. In the…
We establish the concept of $\alpha$-dissipative solutions for the two-component Hunter-Saxton system under the assumption that either $\alpha(x)=1$ or $0\leq \alpha(x)<1$ for all $x\in \mathbb{R}$. Furthermore, we investigate the Lipschitz…
For symmetric L\'evy processes, if the local times exist, the Tanaka formula has already constructed via the techniques in the potential theory by Salminen and Yor (2007). In this paper, we study the Tanaka formula for arbitrary strictly…
We characterize the value function and the optimal stopping time for a large class of optimal stopping problems where the underlying process to be stopped is a fairly general Markov process. The main result is inspired by recent findings…
For a stable process, we give an explicit formula for the potential measure of the process killed outside a bounded interval and the joint law of the overshoot, undershoot and undershoot from the maximum at exit from a bounded interval. We…
We prove trace estimates for the relativistic $\alpha$-stable process extending the result of Ba\~{n}uelos and Kulczycki (2008) in the stable case.
In this note we prove the well-posedness for stochastic 2D Navier-Stokes equation driven by general L\'evy processes (in particular, $\alpha$-stable processes), and obtain the existence of invariant measures.
This paper presents new stability results for matrix Wiener--Hopf factorisation. The first part of the paper examines conditions for stability of Wiener-Hopf factorisation in Daniele--Khrapkov class. The second part of the paper concerns…
We provide a simplified approach to the the stable Hopf invariant. We provide short elementary proofs of the Cartan Formula, the Composition Formula, and the Transfer formula. In addition, when $\pi$ is a discrete group, we show how to…
The main result of this paper is to show that for any compact space $X$ and any family $\{f_\alpha \colon \alpha< 2^\kappa, f_\alpha \colon X \stackrel{onto}{\longrightarrow} \beta \kappa\}$ of open mappings there exists a point $x \in X$…
We present a new linearly stable solution of the Euler fluid flow on a torus. On a two-dimensional rectangular periodic domain $[0,2\pi)\times[0,2\pi / \kappa)$ for $\kappa\in\mathbb{R}^+$, the Euler equations admit a family of stationary…
We study the Lipschitz stability in time for $\alpha$-dissipative solutions to the Hunter-Saxton equation, where $\alpha \in [0,1]$ is a constant. We define metrics in both Lagrangian and Eulerian coordinates, and establish Lipschitz…
In this paper, we consider a long-time behavior of stable-like processes. A stable-like process is a Feller process given by the symbol $p(x,\xi)=-i\beta(x)\xi+\gamma(x)|\xi|^{\alpha(x)},$ where $\alpha(x)\in(0,2)$, $\beta(x)\in\R$ and…
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…