Related papers: Fluctuations of stable processes and exponential f…

Nonparametric methods for the estimation of the Levy density of a Levy process are developed. Estimators that can be written in terms of the ``jumps'' of the process are introduced, and so are discrete-data based approximations. A model…

First, we present some results about the H\"older continuity of the sample paths of so called dilatively stable processes which are certain infinitely divisible processes having a more general scaling property than self-similarity. As a…

In this paper we introduce a ten-parameter family of L\'{e}vy processes for which we obtain Wiener-Hopf factors and distribution of the supremum process in semi-explicit form. This family allows an arbitrary behavior of small jumps and…

We study the long time behaviour of a Markov process evolving in $\mathbb{N}$ and conditioned not to hit 0. Assuming that the process comes back quickly from infinity, we prove that the process admits a unique quasi-stationary distribution…

An overview of several recent developments in density functional theory for classical inhomogeneous liquids is given. We show how Levy's constrained search method can be used to derive the variational principle that underlies density…

In this paper we establish functional Erd\H{o}s-Renyi laws for L\'evy processes, i.e. limit theorems for sets of functions on [0,1] associated to their increments. First, we determine precise conditions under which, in a general framework,…

In this paper, we study the existence of the transition densities of one-dimensional L\'evy processes. Compared with past results, our results contain the L\'evy processes whose L\'evy symbols have logarithm behavior at infinity. Our…

Fluctuation theorem is one of the major achievements in the field of nonequilibrium statistical mechanics during the past two decades. Steady-state fluctuation theorem of sample entropy production rate in terms of large deviation principle…

We give an interpretation of the bilateral exit problem for L\'{e}vy processes via the study of an elementary Markov chain. We exhibit a strong connection between this problem and Krein's theory on strings. For instance, for symmetric…

We completely describe the size and large intersection properties of the Holder singularity sets of Levy processes. We also study the set of times at which a given function cannot be a modulus of continuity of a Levy process. The Holder…

A stochastic model for intermittent fluctuations due to a super-position of uncorrelated Lorentzian pulses is presented. For constant pulse duration, this is shown to result in an exponential power spectral density for the stationary…

We derive explicit asymptotic expansions of the density of the supremum of a strictly stable process when the index $\alpha$ is not rational. In the case when parameters $\alpha$ and $\rho=\p(X_1>0)$ satisfy $\rho+k=l/\alpha$ for some…

In this paper we show that a non-local operator of certain type extends to the generator of a strong Markov process, admitting the transition probability density. For this transition probability density we construct the intrinsic upper and…

This text surveys properties and applications of the exponential functional $\int_0^t\exp(-\xi_s)ds$ of real-valued L\'evy processes $\xi=(\xi_t,t\geq0)$.

In this article we generalize the classical Edgeworth expansion for the probability density function (PDF) of sums of a finite number of symmetric independent identically distributed random variables with a finite variance to sums of…

We present a method of generation of exact and explicit forms of one-sided, heavy-tailed Levy stable probability distributions g_{\alpha}(x), 0 \leq x < \infty, 0 < \alpha < 1. We demonstrate that the knowledge of one such a distribution…

In an effort to understand the fundamental physics of turbulent transport of particles and heat in a tokamak, the floating potential fluctuations in the the scrape-off layer plasma of ohmically heated ADITYA tokamak are analysed for…

In mathematical finance, Levy processes are widely used for their ability to model both continuous variation and abrupt, discontinuous jumps. These jumps are practically relevant, so reliable inference on the feature that controls jump…

We develop new representations for the Levy measures of the beta and gamma processes. These representations are manifested in terms of an infinite sum of well-behaved (proper) beta and gamma distributions. Further, we demonstrate how these…

In this article we get simple explicit formulas for $\Exp\sup_{s\leq t}X(s)$ where $X$ is a spectrally positive or negative L\'evy process with infinite variation. As a consequence we derive a generalization of the well-known formula for…