Related papers: Wentzel-Freidlin estimates for jump processes in s…
The torsion index of split simple groups has been extensively studied, notably by Totaro, who calculated the torsion indexes of the spin groups and $E_{8}$ in [5] and [6], respectively. The aim of this paper is to provide upper bounds for…
A compound Poisson process whose randomized time is an independent Poisson process is called compound Poisson process with Poisson subordinator. We provide its probability distribution, which is expressed in terms of the Bell polynomials,…
In this work we derive limit theorems for trawl processes. First,we study the asymptotic behaviour of the partial sums of the discretized trawl process $(X_{i\Delta_{n}})_{i=0}^{\lfloor nt\rfloor-1}$, under the assumption that as…
For a Markov process associated with a diffusion type Dirichlet form an upper bound is shown for the law of the finite dimensional distributions of the process. Under some more assumptions on the underlaying space this is also shown for the…
In mathematical finance a popular approach for pricing options under some Levy model is to consider underlying that follows a Poisson jump diffusion process. As it is well known this results in a partial integro-differential equation (PIDE)…
The aim of this paper is to study the continuity correction for barrier options in jump-diusion models. For this purpose, we express the pay-off a barrier option in terms of the maximum of the underlying process. We then condition with…
We provide necessary and sufficient conditions for stochastic invariance of finite dimensional submanifolds with boundary in Hilbert spaces for stochastic partial differential equations driven by Wiener processes and Poisson random…
We show that the calculation of Berezin integrals over anticommuting variables can be reduced to the evaluation of expectations of functionals of Poisson processes via an appropriate Feynman-Kac formula. In this way the tools of ordinary…
In many complex systems studied in statistical physics, inter-arrival times between events such as solar flares, trades and neuron voltages follow a heavy-tailed distribution. The set of event times is fractal-like, being dense in some time…
Sub-Gaussian estimates for the natural random walk is typical of many regular fractal graphs. Subordination shows that there exist heavy tailed jump processes whose jump indices are greater than or equal to two. However, the existing…
In this paper, we consider an ergodic Ornstein-Uhlenbeck process with jumps driven by a Brownian motion and a compensated Poisson process, whose drift and diffusion coefficients as well as its jump intensity depend on unknown parameters.…
This chapter is an attempt to present a mathematical theory of compound fractional Poisson processes. The chapter begins with the characterization of a well-known L\'evy process: The compound Poisson process. The semi-Markov extension of…
This paper is devoted the the study of the mean field limit for many-particle systems undergoing jump, drift or diffusion processes, as well as combinations of them. The main results are quantitative estimates on the decay of fluctuations…
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…
We study structural equation modeling (SEM) for diffusion processes with jumps. Based on high-frequency data, we consider the parameter estimation and the goodness-of-fit test in the SEM. Using a threshold method, we propose the…
The purpose of this note is to revisit the proof of the Gearhardt-Pr\"uss-Hwang-Greiner theorem for a semigroup S(t), following the general idea of the proofs that we have seen in the literature and to get an explicit estimate on the norm…
We consider the growth, order, and finiteness problems for automaton (semi)groups. We propose new implementations and compare them with the existing ones. As a result of extensive experimentations, we propose some conjectures on the order…
We prove the following sharp upper bound for the gradient of the Neumann semigroup $P_t$ on a $d$-dimensional compact domain $\OO$ with boundary either $C^2$-smooth or convex: $$\|\nn P_t\|_{1\to \infty}\le \ff{c}{t^{(d+1)/2}},\ \ t>0,$$…
We derive explicit formulas for probabilities of Brownian motion with jumps crossing linear or piecewise linear boundaries in any finite interval. We then use these formulas to approximate the boundary crossing probabilities for general…
We give a substitute to Feller property for semigroups of time-changed processes; under some conditions this leads to establish sufficient (new) conditions for the semigroups to be Feller. Moreover, given a standard process and a sequence…