Related papers: Levy stable two-sided distributions: exact and exp…
We consider periodic homogenization problems for the L{\'e}vy operators with asymmetric L{\'e}vy densities. The formal asymptotic expansion used for the $\a$-stable (symmetric) L{\'e}vy operators ($\a\in (0,2)$) is not applicable directly…
After having closely re-examined the notion of a L\'evy's stable vector, it is shown that the notion of a stable multivariate distribution is more general than previously defined. Indeed, a more intrinsic vector definition is obtained with…
Suppose we have a high-frequency sample from the L\'{e}vy process of the form $X_t^\theta=\beta t+\gamma Z_t+U_t$, where $Z$ is a possibly asymmetric locally $\alpha$-stable L\'{e}vy process, and $U$ is a nuisance L\'{e}vy process less…
Probability distributions defined on the half space are known to be quite different from those in the full space. Here, a nonextensive entropic treatment is presented for the half space in an analytic and self-consistent way. In this…
We introduce and study an extension of the heat equation relevant to relativistic energy formula involving square root of differential operators. We furnish exact solutions of corresponding Cauchy (initial) problem using the operator…
We study the electromagnetic transmission $T$ through one-dimensional (1D) photonic heterostructures whose random layer thicknesses follow a long-tailed distribution --L\'evy-type distribution. Based on recent predictions made for 1D…
In the paper we generalize the following characterization of beta distribution to the symmetric cone setting: let $X$ and $Y$ be independent, non-degenerate random variables with values in $(0,1)$, then $U=1-XY$ and $V=\frac{1-X}{U}$ are…
This paper illustrates a procedure for fitting financial data with $\alpha$-stable distributions. After using all the available methods to evaluate the distribution parameters, one can qualitatively select the best estimate and run some…
We determine the structure of the set of intermediate $\beta$-shifts of finite type. Specifically, we show that this set is dense in the parameter space $\Delta = \{ (\beta, \alpha) \in \mathbb{R}^{2} \colon \beta \in (1, 2) \; \text{and}…
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…
We consider the conventional Laplace transform of $f(x)$, denoted by $\mathcal{L}[f(x); p]~\equiv~F(p)=\int_{0}^{\infty} e^{-p x} f(x) dx$ with ${\rm \mathfrak{Re}}(p) > 0$. For $0 < \alpha < 1$ we furnish the closed form expressions for…
Two concepts of symmetry for the distributions of positive random variables $Y$ are log-symmetry (symmetry of the distribution of $\log Y$) and R-symmetry [7]. In this paper, we characterise the distributions that have both properties,…
We consider a family of positive solutions to the system of $k$ components \[ -\Delta u_{i,\beta} = f(x, u_{i,\beta}) - \beta u_{i,\beta} \sum_{j \neq i} a_{ij} u_{j,\beta}^2 \qquad \text{in $\Omega$}, \] where $\Omega \subset \mathbb{R}^N$…
Suppose $\alpha$ is a rotationally symmetric norm on $L^{\infty}\left(\mathbb{T}\right) $ and $\beta$ is a "nice" norm on $L^{\infty}\left(\Omega,\mu \right) $ where $\mu$ is a $\sigma$-finite measure on $\Omega$. We prove a version of…
Power-law tail behavior and the summation scheme of Levy-stable distributions is the basis for their frequent use as models when fat tails above a Gaussian distribution are observed. However, recent studies suggest that financial asset…
The classic central limit theorem and $\alpha$-stable distributions play a key role in probability theory, and also in Boltzmann-Gibbs (BG) statistical mechanics. They both concern the paradigmatic case of probabilistic independence of the…
Multistable distributions, which have been introduced recently by Falconer, L\'evy V\'ehel and their co-authors, are natural generalizations of symmetric "alpha" stable distributions; roughly speaking, they are obtained by replacing the…
We study the density of the supremum of a strictly stable L\'evy process. As was proved recently in F. Hubalek and A. Kuznetsov "A convergent series representation for the density of the supremum of a stable process" (Elect. Comm. in…
We show that alpha stable L\'evy motions can be simulated by any ergodic and aperiodic probability preserving transformation. Namely we show: - for $0<\alpha<1$ and every $\alpha$ stable L\'evy motion $\mathbb{W}$, there exists a function f…
A multiplicative identity in law connecting the hitting times of completely asymmetric $\alpha-$stable L\'evy processes in duality is established. In the spectrally positive case, this identity allows with an elementary argument to compute…