Related papers: On the density of exponential functionals of L\'ev…
In this paper, we solve exit problems for a level-dependent L\'evy process which is exponentially killed with a killing intensity that depends on the present state of the process. Moreover, we analyse the respective resolvents. All…
In this article, we study the potential theory of normal tempered stable process which is obtained by time-changing the Brownian motion with a tempered stable subordinator. Precisely, we study the asymptotic behavior of potential density…
For a recurrent linear diffusion on $\R_+$ we study the asymptotics of the distribution of its local time at 0 as the time parameter tends to infinity. Under the assumption that the L\'evy measure of the inverse local time is subexponential…
We study the effective reduction for a nonlocal stochastic partial differential equation with oscillating coefficients. The nonlocal operator in this stochastic partial differential equation is the generator of non-Gaussian L\'{e}vy…
We develop at-the-money call-price and implied volatility asymptotic expansions in time to maturity for a class of asset-price models whose log returns follow a L\'evy process. Under mild assumptions placing the driving L\'evy process in…
In this paper, we present a comprehensive theory of generalized and weak generalized convolutions, illustrate it by a large number of examples, and discuss the related infinitely divisible distributions. We consider L\'{e}vy and additive…
This paper provides a framework for investigations in fluctuation theory for L\'evy processes with matrix-exponential jumps. We present a matrix form of the components of the infinitely divisible factorization. Using this representation we…
The law of a positive infinitely divisible process with no drift is characterized by its L\'evy measure on the paths space. Based on recent results of the two authors, it is shown that even for simple examples of such processes, the…
For a general free L\'evy process, we prove the existence of its higher variation processes as limits in distribution, and identify the limits in terms of the L\'evy-It\^o representation of the original process. For a general free compound…
In this paper, we investigate the ergodicity in total variation of the process $X_t$ related to some integro-differential operator with unbounded coefficients and describe the speed of convergence to the respective invariant measure. Some…
We show that the generating function corresponding to the sequence of denominators of the best rational approximants of a quadratic irrational is a rational function with integer coefficients. Consequently we can compute the L\'evy constant…
In this paper we analyze the transient behavior of the workload process in a L\'evy input queue. We are interested in the value of the workload process at a random epoch; this epoch is distributed as the sum of independent exponential…
The asymptotic behavior of the integrated density of states (IDS), \(N(E)\), is investigated for random Schr\"{o}dinger operators with a single-site potential \(V\) satisfying \(\mathrm{essinf}\, V = -\infty\). Under the assumption that the…
Let $\{L(t),t\geq 0\}$ be a L\'{e}vy process with representative random variable $L(1)$ defined by the infinitely divisible logarithmic series distribution. We study here the transition probability and L\'{e}vy measure of this process. We…
Let $V$ be a two sided random walk and let $X$ denote a real valued diffusion process with generator ${1/2}e^{V([x])}\frac{d}{dx}(e^{-V([x])}\frac{d}{dx})$. This process is known to be the continuous equivalent of the one dimensional random…
In this work, we study general Dirichlet coalescents, which are a family of Xi-coalecents constructed from i.i.d mass partitions, and are an extension of the symmetric coalescent. This class of models is motivated by population models with…
We study functions g_{\alpha}(x) which are one-sided, heavy-tailed Levy stable probability distributions of index \alpha, 0< \alpha <1, of fundamental importance in random systems, for anomalous diffusion and fractional kinetics. We furnish…
It is known that in many cases distributions of exponential integrals of Levy processes are infinitely divisible and in some cases they are also selfdecomposable. In this paper, we give some sufficient conditions under which distributions…
We investigate the relation of the semigroup probability density of an infinite activity L\'{e}vy process to the corresponding L\'{e}vy density. For subordinators, we provide three methods to compute the former from the latter. The first…
There exist only a few known examples of subordinators for which the transition probability density can be computed explicitly along side an expression for its L\'evy measure and Laplace exponent. Such examples are useful in several areas…