Related papers: A transformation for L\'evy processes with one-sid…
We establish the comparison principle and the existence of solutions of the integro-differential equations with L{\'e}vy operators. The L{\'e}vy operators of our interest are infinitesmal generator of the jump processes which could be…
We prove gradient estimates for harmonic functions with respect to a $d$-dimensional unimodal pure-jump Levy process under some mild assumptions on the density of its Levy measure. These assumptions allow for a construction of an unimodal…
It is known that the so-called Bercovici-Pata bijection can be explained in terms of certain Hermitian random matrix ensembles $(M_{d})_{d\geq1}$ whose asymptotic spectral distributions are free infinitely divisible. We investigate…
In statistical applications, the normal and the Laplace distributions are often contrasted: the former as a standard tool of analysis, the latter as its robust counterpart. I discuss the convolutions of these two popular distributions and…
This paper provides a multivariate extension of Bertoin's pathwise construction of a L\'evy process conditioned to stay positive/negative. Thus obtained processes conditioned to stay in half-spaces are closely related to the original…
In this chapter we present transformation semigroups and their applications. We begin with Klein's approach to geometry based on invariants of transformation groups. Then we present symmetry groups in chemistry and in classical mechanics.…
We study the composition of bivariate L\'evy process with bivariate inverse subordinator. The explicit expressions for its dispersion and auto correlation matrices are obtained. Also, the time-changed two parameter L\'evy processes with…
This brief manuscript provides an introduction to L\'evy processes and their applications in finance as the random process that drives asset models. Characteristic functions and random variable generators of popular L\'evy processes are…
The scale function holds significant importance within the fluctuation theory of Levy processes, particularly in addressing exit problems. However, its definition is established through the Laplace transform, thereby lacking explicit…
We introduce a family of sequence transformations, defined via partial Bell polynomials, that may be used for a systematic study of a wide variety of problems in enumerative combinatorics. This family includes some of the transformations…
This paper studies the law of any power of the integral of geometric Brownian motion over any finite time interval. As its main results, two integral representations for this law are derived. This is by enhancing the Laplace transform…
We analyze confining mechanisms for L\'{e}vy flights. When they evolve in suitable external potentials their variance may exist and show signatures of a superdiffusive transport. Two classes of stochastic jump - type processes are…
In this research article, we consider the uniqueness sequences for multidimensional vector-valued Laplace transform. We establish the fundamental relationships between uniqueness sequences for one-dimensional Laplace transform and…
In this paper, we derive identities for the upward and downward exit problems and resolvents for a process whose motion changes between two L\'evy processes if it is above (or below) a barrier $b$ and coincides with a Poissonian arrival…
Statistical inference for spatial processes from partially realized or scattered data has seen voluminous developments in diverse areas ranging from environmental sciences to business and economics. Inference on the associated rates of…
In this paper we show that a path-wise solution to the following integral equation $$ Y_t = \int_0^t f(Y_t) dX_t \qquad Y_0=a \in \R^d $$ exists under the assumption that X_t is a L\'evy process of finite p-variation for some $p \geq1$ and…
This paper introduces Generalized Fourier transform (GFT) that is an extension or the generalization of the Fourier transform (FT). The Unilateral Laplace transform (LT) is observed to be the special case of GFT. GFT, as proposed in this…
Lewis and Mordecki have computed the Wiener-Hopf factorization of a L\'evy process whose restriction on $]0,+\infty[$ of their L\'evy measure has a rational Laplace transform. That allows to compute the distribution of $(X_t,\inf_{0\leq…
In this paper we develop the alternative path-integral approach to quantum mechanics. We present a resolvent of a Hamiltonian (which is Laplace transform of a evolution operator) in a form which has a sense of ``the sum over paths'' but it…
We consider a classical problem of Computer Algebra: symbolic solution of PDEs. We transform the famous Darboux theorems on differential transformations of hyperbolic operator into the space of invariants. We introduce a new idea -- $X$-…