Related papers: Hitting densities for spectrally positive stable p…
In this article, we first review the connection between L\'evy processes and infinitely divisible random variables, and the classification of infinitely divisible distributions. Using this connection and the L\'evy-Khinchine representation…
The law of a positive infinitely divisible process with no drift is characterized by its L\'evy measure on the paths space. Based on recent results of the two authors, it is shown that even for simple examples of such processes, the…
Let $X=\{X_{t},t\in R_{+}\}$ be a symmetric L\'{e}vy process with local time $\{L^{x}_{t} ; (x,t)\in R^{1}\times R^{1}_{+}\}$. When the L\'{e}vy exponent $\psi(\la)$ is regularly varying at zero with index $1<\beta\leq 2$, and satisfies…
The L\'evy walk process with rests is discussed. The jumping time is governed by an $\alpha$-stable distribution with $\alpha>1$ while a waiting time distribution is Poissonian and involves a position-dependent rate which reflects a…
Stable distributions are a celebrated class of probability laws used in various fields. The $\alpha$-stable process, and its exponentially tempered counterpart, the Classical Tempered Stable (CTS) process, are also prominent examples of…
The exact solution for a system with two-particle annihilation and decoagulation has been studied. The spectrum of the Hamiltonian of the system is found. It is shown that the steady state is two-fold degenerate. The average number density…
Motivated by the notion of isotropic $\alpha$-stable L\'evy processes confined, by reflections, to a bounded open Lipschitz set $D\subset \mathbb{R}^d$, we study some related analytical objects. Thus, we construct the corresponding…
For a spectrally positive and strictly stable process with index in (1,2), a series representation is obtained for the joint distribution of the "first passage triple" that consists of the time of first passage and the undershoot and the…
This paper is concerned with the evolution dynamics of local times of a spectrally positive stable process in the spatial direction. The main results state that conditioned on the finiteness of the first time at which the local time at zero…
We consider the abelian stochastic sandpile model. In this model, a site is deemed unstable when it contains more than one particle. Each unstable site, independently, is toppled at rate $1$, sending two of its particles to neighbouring…
We study a system of perfect integrate-and-fire inhibitory neurons. It is a system of stochastic processes which interact through receiving an instantaneous increase at the moments they reach certain thresholds. In the absence of…
Exact results for the first passage time and leapover statistics of symmetric and one-sided Levy flights (LFs) are derived. LFs with stable index alpha are shown to have leapover lengths, that are asymptotically power-law distributed with…
We show that alpha stable L\'evy motions can be simulated by any ergodic and aperiodic probability preserving transformation. Namely we show: - for $0<\alpha<1$ and every $\alpha$ stable L\'evy motion $\mathbb{W}$, there exists a function f…
We investigate the convergence of hitting times for jump-diffusion processes. Specifically, we study a sequence of stochastic differential equations with jumps. Under reasonable assumptions, we establish the convergence of solutions to the…
This paper deals with the comparison of several stationary processes with unequal sample sizes. We provide a detailed theoretical framework on the testing problem for equality of spectral densities in the bivariate case, after which the…
This paper addresses the problem of identifying a linear time-varying (LTV) system characterized by a (possibly infinite) discrete set of delays and Doppler shifts. We prove that stable identifiability is possible if the upper uniform…
In this paper we introduce a novel statistical framework based on the first two quantile conditional moments that facilitates effective goodness-of-fit testing for one-sided L\'evy distributions. The scale-ratio framework introduced in this…
Based on a class of moderately interacting particle systems, we establish a quantitative approximation for density-dependent McKean-Vlasov SDEs and the corresponding nonlinear, nonlocal PDEs. The SDE is driven by both Brownian motion and…
We study a one-dimensional diffusion process in a drifted Brownian potential. We characterize the upper functions of its hitting times in the sense of Paul L\'evy, and determine the lower limits in terms of an iterated logarithm law.
If $X$ is a spectrally positive stable process of index $\alpha\in(1,2)$ whose L\'{e}vy measure has density $cx^{-\alpha-1}$ on $(0,\infty),$ and $S_1=\sup_{0<t\leq1}X_t,$ it is known that $P(S_1>x)\backsim c\alpha^{-1}x^{-\alpha}$ as…