Related papers: A transformation for L\'evy processes with one-sid…

It is well known that between all processes with independent increments, essentially only the Brownian motion and the Poisson process possess the chaotic representation property (CRP). Thus, a natural question appears: What is an…

Relations between so-called harness processes and initial enlargements of the filtration of a Levy process with its positions at fixed times are investigated.

This paper is based on the author's talk at the 2012 Workshop on Geometric Methods in Physics held in Bialowieza, Poland. The aim of the talk is to introduce the audience to the Eynard-Orantin topological recursion. The formalism is…

This paper introduces Switching Processes, called SP. Their constructions are inspired by the PDMP's ones (PDMP stands for Piecewise Deterministic Markov Process). A Markov process, called the intrinsic process, replaces the PDMP's flow.…

Sequences of Levy transformations for the Darboux system of conjugates nets in multidimensions are studied. We show that after a suitable number of Levy transformations, with at least a Levy transformation in each direction, we get closed…

We give upper and lower estimates of densities of convolution semigroups of probability measures under explicit assumptions on the corresponding Levy measure and the Levy--Khinchin exponent. We obtain also estimates of derivatives of…

We study a combination of the refracted and reflected L\'evy processes. Given a spectrally negative L\'evy process and two boundaries, it is reflected at the lower boundary while, whenever it is above the upper boundary, a linear drift at a…

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…

This paper uses the convolution theorem of the Laplace transform to derive new inverse Laplace transforms for the product of two parabolic cylinder functions in which the arguments may have opposite sign. These transforms are subsequently…

We study approximations to the Moreau envelope -- and infimal convolutions more broadly -- based on Laplace's method, a classical tool in analysis which ties certain integrals to suprema of their integrands. We believe the connection…

An obvious way to simulate a L\'evy process $X$ is to sample its increments over time $1/n$, thus constructing an approximating random walk $X^{(n)}$. This paper considers the error of such approximation after the two-sided reflection map…

The index Whittaker convolution operator, recently introduced by the authors, gives rise to a convolution measure algebra having the property that the convolution of probability measures is a probability measure. In this paper, we introduce…

In the present work the well known Farey map is exploited to consruct a new mother wavelet. Properties such as admissibility, moments, 2-scale relation and reconstruction rule have been established. The constructed mother may be a good…

Levy flights and subdiffusive processes and their properties are discussed. We derive the space- and time-fractional transport equations, and consider their solutions in external potentials. An extensive list of references is included.

By means of a symbolic method, in this paper we introduce a new family of multivariate polynomials such that multivariate L\'evy processes can be dealt with as they were martingales. In the univariate case, this family of polynomials is…

Let $x : M \to E^m$ be an isometric immersion of a Riemannian manifold $M$ into a Euclidean $m$-space. Denote by $\Delta$ the Laplace operator of $M$. Then $\Delta$ gives rise to a differentiable map $L :M \to E^m$, called the Laplace map,…

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…

Kuznetsov et al. (2011) and Kuznetsov and Pardo (2013) introduced the family of Hypergeometric L\'evy processes. They appear naturally in the study of fluctuations of stable processes when one analyses stable processes through the theory of…

Monotone L\'evy processes with additive increments are defined and studied. It is shown that these processes have a natural Markov structure and their Markov transition semigroups are characterized using the monotone L\'evy-Khintchine…

We present an existence result for L\'evy-type processes which requires only weak regularity assumptions on the symbol $q(x,\xi)$ with respect to the space variable $x$. Applications range from existence and uniqueness results for…