Related papers: Generalized L/'evy Stochastic Areas and Selfdecomp…
As a part of our works on effective properties of probability distributions, we deal with the corresponding characteristic functions. A sequence of probability distributions is computable if and only if the corresponding sequence of…
This work provide a thorough study of L\'evy or heavy-tailed random matrices (LM). By analysing the self-consistent equation on the probability distribution of the diagonal elements of the resolvent we establish the equation determining the…
According to the well-known Heyde theorem the Gaussian distribution on the real line is characterized by the symmetry of the conditional distribution of one linear form of independent random variables given another. We study analogues of…
Let G be a possibly disconnected reductive group over a finite field with Frobenius map F. The main result of this paper is that the characteristic functions af "admissible complexes" A on G such that F^*A is isomorphic to A form a basis of…
It is shown that many of the classical generalized isoperimetric inequalities for the Laplacian when viewed in terms of Brownian motion extend to a wide class of Levy processes. The results are derived from the multiple integral…
We study inference for the driving L\'evy noise of an ergodic stochastic differential equation (SDE) model, when the process is observed at high-frequency and long time and when the drift and scale coefficients contain finite-dimensional…
{Let $B=(B_1(t),...,B_d(t))$ be a $d$-dimensional fractional Brownian motion with Hurst index $\alpha<1/4$, or more generally a Gaussian process whose paths have the same local regularity. Defining properly iterated integrals of $B$ is a…
We prove a new generation result in $L^1$ for a large class of non-local operators with non-degenerate local terms. This class contains the operators appearing in Fokker-Planck or Kolmogorov forward equations associated with L\'evy driven…
We tackle the problem of conditioning probabilistic programs on distributions of observable variables. Probabilistic programs are usually conditioned on samples from the joint data distribution, which we refer to as deterministic…
In this paper we study general nonlinear stochastic differential equations, where the usual Brownian motion is replaced by a L\'evy process. We also suppose that the coefficient multiplying the increments of this process is merely Lipschitz…
We present a pairing of automorphic distributions that applies in situations where a Lie group acts with an open orbit on a product of generalized flag varieties. The pairing gives meaning to an integral of products of automorphic…
Inspirations for this paper can be traced to Urbanik (1972) where convolution semigroups of multiple decomposable distributions were introduced. In particular, the classical gamma $\mathbb{G}_t$ and $\log \mathbb{G}_t$, $t>0$ variables are…
In this paper fractional generalization of Liouville equation is considered. We derive fractional analog of normalization condition for distribution function. Fractional generalization of the Liouvile equation for dissipative and…
Motivated by the recent results of Nualart and Xu \cite{Nualart} concerning limits laws for occupation times of one dimensional symmetric stable processes, this paper proves a decomposition for functionals of one dimensional symmetric…
We show the equivalence of three properties for an infinitely divisible distribution: the subexponentiality of the density, the subexponentiality of the density of its L\'evy measure and the tail equivalence between the density and its…
Many key quantities in statistics and probability theory such as the expectation, quantiles, expectiles and many risk measures are law-determined maps from a space of random variables to the reals. We call such a law-determined map, which…
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…
Since the times of Holtsmark (1911), statistics of fields in random environments have been widely studied, for example in astrophysics, active matter, and line-shape broadening. The power-law decay of the two-body interaction, of the form…
We define a new class of positive and Lebesgue measurable functions in terms of their asymptotic behavior, which includes the class of regularly varying functions. We also characterize it by transformations, corresponding to generalized…
The notion of random self-decomposability is generalized further. The notion is then extended to non-negative integer-valued distributions.