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Another way to evaluate the spectral-correlation properties of thermal fields of solids is suggested. Such a method takes into account detailed structure of the interface transition layer separating one bulk region from those of the vacuum…
We present a class of L\'evy processes for modelling financial market fluctuations: Bilateral Gamma processes. Our starting point is to explore the properties of bilateral Gamma distributions, and then we turn to their associated L\'evy…
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),…
Path decomposition is performed to characterize the law of the pre/post-supremum, post-infimum and the intermediate processes of a spectrally negative Levy process taken up to an independent exponential time T: As a result, mainly the…
We introduce a new method for detecting scaling in time series. The method uses the properties of the probability flux for stochastic self-affine processes and is called the probability flux analysis (PFA). The advantages of this method…
We define two new classes of stochastic processes, called tempered fractional L\'{e}vy process of the first and second kinds (TFLP and TFLP $I\!I$, respectively). TFLP and TFLP $I\!I$ make up very broad finite-variance, generally…
In this paper, we study the existence of the density associated to the exponential functional of the L\'evy process $\xi$, \[ I_{\ee_q}:=\int_0^{\ee_q} e^{\xi_s} \, \mathrm{d}s, \] where $\ee_q$ is an independent exponential r.v. with…
The estimation of parameters in the frequency spectrum of a seasonally persistent stationary stochastic process is addressed. For seasonal persistence associated with a pole in the spectrum located away from frequency zero, a new…
The article considers vector parameter estimators in statistical models generated by Levy processes. An improved one step estimator is presented that can be used for improving any other estimator. Combined numerical methods for optimization…
We propose a seamless multiscale method which approximates the macroscopic behavior of the passive advection-diffusion equations with steady incompressible velocity fields with multi-spatial scales. The method uses decompositions of the…
We introduce a meta-population version of models of asymmetric exclusion models, consisting of a spatial arrangement of patches. Patches are of a specific size, indicating the maximal number of particles they can hold. We use an expansion…
For a broad class of the Levy processes the new form (convolution type) of the infinitesimal generators is introduced. It leads to the new notions: a truncated generator, a quasi-potential. The probability of the Levy process remaining…
In this paper we present stochastic foundations of fractional dynamics driven by fractional material derivative of distributed order-type. Before stating our main result we present the stochastic scenario which underlies the dynamics given…
The short-time Fourier transform (STFT) is a time-frequency representation widely used in applications, for example in audio signal processing. Recently it has been shown that not only the amplitude, but also the phase of this…
We consider different generalizations of the Fokker-Planck-equation devised to describe Levy processes in potential force fields. We show that such generalizations can proceed along different lines. On one hand, Levy statistics can emerge…
In this article we consider the Levy processes and the corresponding semigroup. We represent the generator of this semigroup in a convolution form. Using the obtained convolution form and the theory of integral equations we investigate the…
Using generalized Blumenthal--Getoor indices, we obtain criteria for the finiteness of the $p$-variation of L\'evy-type processes. This class of stochastic processes includes solutions of Skorokhod-type stochastic differential equations…
We study stochastic volatility models in which the volatility process is a positive continuous function of a continuous Volterra stochastic process. We state some pathwise large deviation principles for the scaled log-price.
In this paper, we consider spectral approximation of fractional differential equations (FDEs). A main ingredient of our approach is to define a new class of generalized Jacobi functions (GJFs), which is intrinsically related to fractional…
In this paper, we provide strong $L_2$-rates of approximation of the integral-type functionals of Markov processes by integral sums. We improve the method developed in [2]. Under assumptions on the process formulated only in terms of its…