Related papers: Hunt's hypothesis (H) and Getoor's conjecture for …

In this article, we study the asymptotic behaviour of L\'evy processes with no positive jumps conditioned to stay positive. We establish integral tests for the lower envelope at 0 and at $+\infty$ and an analogue of Khintchin's law of the…

Consider a spectrally positive L\'evy process $Z$ with log-Laplace exponent $\Psi$ and a positive continuous function $R$ on $(0,\infty)$. We investigate the entrance from $\infty$ of the process $X$ obtained by changing time in $Z$ with…

In this paper, we consider the statistical inference of the drift parameter $\theta$ of non-ergodic Ornstein-Uhlenbeck~(O-U) process driven by a general Gaussian process $(G_t)_{t\ge 0}$. When $H \in (0, \frac 12) \cup (\frac 12,1) $ the…

We obtain Liouville type theorems for degenerate elliptic equation with a drift term and a potential. The diffusion is driven by H\"ormander operators. We show that the conditions imposed on the coefficients of the operator are optimal.…

Let $X$ be an isotropic unimodal L\'{e}vy jump process on $\mathbb{R}^d$. We develop probabilistic methods which in many cases allow us to determine whether $X$ satisfies the elliptic Harnack inequality (EHI), by looking only at the jump…

Horn's problem asks for the conditions on sets of integers mu, nu and lambda that ensure the existence of Hermitian operators A, B and A+B with spectra mu, nu and lambda, respectively. It has been shown that this problem is equivalent to…

We consider a nonautonomous system \[ \dot x=A(t)x+f(t,x,y),\quad \dot y = g(t,y)\] and give conditions under which there is a transformation of the form $H(t,x,y)=(x+h(t,x,y),y)$ taking its solutions onto the solutions of the partially…

Let $X=\{X_{t},t\in R_{+}\}$ be a symmetric L\'{e}vy process with local time $\{L^{x}_{t} ; (x,t)\in R^{1}\times R^{1}_{+}\}$. When the L\'{e}vy exponent $\psi(\la)$ is regularly varying at zero with index $1<\beta\leq 2$, and satisfies…

Consider the following stochastic differential equation (SDE) $$dX_t = b(t,X_{t-}) \, dt+ dL_t, \quad X_0 = x,$$ driven by a $d$-dimensional L\'evy process $(L_t)_{t \geq 0}$. We establish conditions on the L\'evy process and the drift…

We consider a spectrally positive L\'evy process $X$ that does not drift to $+\infty$, viewed as coding for the genealogical structure of a (sub)critical branching process, in the sense of a contour or exploration process…

Existence and stability properties are studied for Hawkes process, i.e. point process $S$ that has long-memory and intensity $r(t)=\lambda \big(g_0(t)+ \sum_{\tau<t, \tau \in S} h(t-\tau) \big)$. The approach to Hawkes process presented in…

We suppose that a L\'evy process is observed at discrete time points. A rather general construction of minimum-distance estimators is shown to give consistent estimators of the L\'evy-Khinchine characteristics as the number of observations…

In this paper we present some extensions of recent noncentral moderate deviation results in the literature. In the first part we generalize the results in \cite{BeghinMacciSPL2022} by considering a general L\'evy process $\{S(t):t\geq 0\}$…

This paper provides an extended case study of the cutoff phenomenon for a prototypical class of nonlinear Langevin systems with a single stable state perturbed by an additive pure jump L\'evy noise of small amplitude $\varepsilon>0$, where…

We prove several necessary and sufficient conditions for the existence of (smooth) transition probability densities for L\'evy processes and isotropic L\'evy processes. Under some mild conditions on the characteristic exponent we calculate…

We study asymptotic properties of maximum likelihood estimators of drift parameters for a jump-type Heston model based on continuous time observations, where the jump process can be any purely non-Gaussian L\'evy process of not necessarily…

A necessary and sufficient condition for a L\'evy process $X$ to stay positive, in probability, near 0, which arises in studies of Chung-type laws for $X$ near 0, is given in terms of the characteristics of $X$.

For a given Markov process $X$ and survival function $\overline{H}$ on $\mathbb{R}^+$, the inverse first-passage time problem (IFPT) is to find a barrier function $b:\mathbb{R}^+\to[-\infty,+\infty]$ such that the survival function of the…

In this paper we deal with the problem of characterizing those generalized Mehler semigroups that do correspond to c\`adl\`ag Markov processes, which is highly non-trivial and has remained open for more than a decade. Our approach is to…

Let $Y$ be a spectrally positive L\'evy process with $E Y_1<0$, $C$ an independent subordinator with finite expectation, and $X=Y+C$. A curious distributional equality proved in Huzak et al., Ann. Appl. Probab. 14 (2004) 1278--1397, states…