Related papers: On Wiener-Hopf factors for stable processes

A new class of semi-implicit numerical schemes for linear advection equation on Cartesian grids is derived that is inspired by so-called $\kappa$-schemes used with fully explicit discretizations for this type of problems. Opposite to fully…

This paper focuses on using the first curvature $\kappa(t)$ of trajectory to describe the stability of linear time-invariant system. We extend the results for two and three-dimensional systems [Y. Wang, H. Sun, Y. Song et al.,…

We study the Wiener-Hopf factorization for Levy processes with bounded positive jumps and arbitrary negative jumps. Using the results from the theory of entire functions of Cartwright class we prove that the positive Wiener-Hopf factor can…

We provide an asymptotic analysis of a non-local Fisher-KPP type equation in periodic media and with a non-local stable operator of order $\alpha$ $\in$ (0, 2). We perform a long time-long range scaling in order to prove that the stable…

We prove existence and uniqueness of a mild solution of a stochastic evolution equation driven by a standard $\alpha$-stable cylindrical L\'evy process defined on a Hilbert space for $\alpha \in (1,2)$. The coefficients are assumed to map…

The infinitesimal generator of a one-dimensional strictly $\alpha$-stable process can be represented as a weighted sum of (right and left) Riemann-Liouville fractional derivatives of order $\alpha$ and one obtains the fractional Laplacian…

Numerous studies grounded on Hawkes processes have been carried out in many fields including finance, biology and social network. Hawkes processes form a class of selfexciting simple point processes. In this article, we consider a general…

Square-kappa-finite, the finite family version of weak square, holds at all cardinals kappa in the Mitchell-Steel inner models.

We give a probabilistic proof of relative Fatou's theorem for $(-\Delta)^{\alpha/2}$-harmonic functions (equivalently for symmetric $\alpha$-stable processes) in bounded $\kappa$-fat open set where $\alpha \in (0,2)$. That is, if $u$ is…

By killing a stable L\'{e}vy process when it leaves the positive half-line, or by conditioning it to stay positive, or by conditioning it to hit 0 continuously, we obtain three different positive self-similar Markov processes which…

Existence and stability properties are studied for Hawkes process, i.e. point process $S$ that has long-memory and intensity $r(t)=\lambda \big(g_0(t)+ \sum_{\tau<t, \tau \in S} h(t-\tau) \big)$. The approach to Hawkes process presented in…

Lewis and Mordecki have computed the Wiener-Hopf factorization of a L\'evy process whose restriction on $]0,+\infty[$ of their L\'evy measure has a rational Laplace transform. That allows to compute the distribution of $(X_t,\inf_{0\leq…

We derive the quantitative modulus of continuity $$ \omega(r)=\left[ p+\ln \left( \frac{r_0}{r} \right) \right]^{-\alpha (n,p)}, $$ which we conjecture to be optimal, for solutions of the $p$-degenerate two-phase Stefan problem. Even in the…

If kappa is strongly compact, lambda > kappa is regular, then (2^{< lambda})^+ --> (lambda+eta)^2_theta holds for eta,theta<kappa.

For a family of second-order elliptic systems of Maxwell's type with rapidly oscillating periodic coefficients in a $C^{1, \alpha}$ domain $\Omega$, we establish uniform estimates of solutions $u_\varep$ and $\nabla \times u_\varep$ in…

We study the Wiener-Ikehara theorem under the so-called log-linearly slowly decreasing condition. Moreover, we clarify the connection between two different hypotheses on the Laplace transform occurring in exact forms of the Wiener-Ikehara…

For a class of non-symmetric non-local L\'evy-type operators $\mathcal{L}^{\kappa}$, which include those of the form $$ \mathcal{L}^{\kappa}f(x):= \int_{\mathbb{R}^d}( f(x+z)-f(x)- 1_{|z|<1} \left<z,\nabla f(x)\right>)\kappa(x,z)J(z)\,…

In this paper, we give a new method for proving the Lesche stability of several functionals(Incomplete entropy, Tsallis entropy, \kappa - entropy, Quantum-Group entropy). We prove also that the Incomplete q - expectation value and Renyi…

In this paper we show that stationary and non-stationary multivariate continuous-time ARMA (MCARMA) processes have the representation as a sum of multivariate complex-valued Ornstein-Uhlenbeck processes under some mild assumptions. The…

We provide a general framework for dual representations of Laplace transforms of Markov processes. Such representations state that the Laplace transform of a finite-dimensional distribution of a Markov process can be expressed in terms of a…