Related papers: Generalized L/'evy Stochastic Areas and Selfdecomp…
We present here an overview of the history, applications and important properties of a function which we refer to as the Levy integral. For certain values of its characteristic parameter the Levy integral defines the symmetric Levy stable…
By Heyde's theorem, the class of Gaussian distributions on the real line is characterized by the symmetry of the conditional distribution of one linear form of independent random variables given another. We prove an analogue of this theorem…
The method of \emph{random integral representation}, that is, the method of representing a given probability measure as the probability distribution of some random integral, was quite successful in the past few decades. In this note we will…
We generalize the theory of Lorentz-covariant distributions to broader classes of functionals including ultradistributions, hyperfunctions, and analytic functionals with a tempered growth. We prove that Lorentz-covariant functionals with…
It is possible to construct L\'evy white noises as generalized random processes in the sense of Gel'fand and Vilenkin, or as an independently scattered random measures introduced by Rajput and Rosinski. In this article, we unify those two…
In this article we consider L\'evy driven continuous time moving average processes observed on a lattice, which are stationary time series. We show asymptotic normality of the sample mean, the sample autocovariances and the sample…
There are many nonparametric objects of interest that are a function of a conditional distribution. One important example is an average treatment effect conditional on a subset of covariates. Many of these objects have a conditional…
In this paper we discuss the generalizations of the concept of Chebyshev's bias from two perspectives. First we give a general framework for the study of prime number races and Chebyshev's bias attached to general $L$-functions satisfying…
We use the theory of Bernstein functions to analyze power law tail behavior with log-periodic perturbations which corresponds to self-similarity of the Bernstein functions. Such tail behavior appears in the context of semistable L\'evy…
The probabilistic symbol is the right-hand side derivative of the characteristic functions corresponding to the one-dimensional marginals of a stochastic process. This object, as long as the derivative exists, provides crucial information…
From physical perspective, derivatives can be viewed as mathematical idealizations of the linear growth. The linear growth condition has special properties, which make it preferred. The manuscript investigates the general properties of the…
We summarize the relations among three classes of laws: infinitely divisible, selfdecomposable and stable. First we look at them as the solutions of the Central Limit Problem; then their role is scrutinized in relation to the Levy and the…
Statistical system models provide the basis for the examination of various sorts of distributions. Classification distributions are a very common and versatile form of statistics in e.g. real economic, social, and IT systems. The…
The paper addresses the question whether a random functional, a map from a set $E$ into the space of real-valued measurable functions on a probability space, has a measurable version with values in ${\mathbb R}^E$. Similarly, one may ask…
In this paper, we study a class of stochastic Generalized Linear Switched System (GLSS), which includes subclasses of jump-Markov, piecewide-linear and Linear Parameter-Varying (LPV) systems. We prove that the output of such systems can be…
We give a proof of the existence of Asai, exterior square, and symmetric square local $L$-functions, $\gamma$-factors and root numbers in characteristic $p$, including the case of $p = 2$. Our study is made possible by developing the…
In this paper we present a study of anomalous diffusion using a Fokker-Planck description with fractional velocity derivatives. The distribution functions are found using numerical means for varying degree of fractionality observing the…
Gel'fand triples of test and generalized functionals in Gaussian spaces are constructed and characterized.
Stochastic processes are shown to emerge from the time evolution of complex quantum systems. Using parametric, banded random matrix ensembles to describe a quantum chaotic environment, we show that the dynamical evolution of a particle…
Given $n$ equidistant realisations of a L\'evy process $(L_t,\,t\ge 0)$, a natural estimator $\hat N_n$ for the distribution function $N$ of the L\'evy measure is constructed. Under a polynomial decay restriction on the characteristic…