Related papers: On the Wiener-Hopf factorization for Levy processe…
In this work we give a complete description to the asymptotic behaviors of exponential functionals of L\'evy processes and divide them into five different types according to their convergence rates. Not only their exact convergence speeds…
The classical Liouville property says that all bounded harmonic functions in $\mathbb{R}^n$, i.e.\ all bounded functions satisfying $\Delta f = 0$, are constant. In this paper we obtain necessary and sufficient conditions on the symbol of a…
A factorization theory is proposed for Wiener-Hopf plus Hankel operators with almost periodic Fourier symbols. We introduce a factorization concept for the almost periodic Fourier symbols such that the properties of the factors will allow…
The paper gives some properties of hitting times and an analogue of the Wiener-Hopf factorization for the Kendall random walk. We show also that the Williamson transform is the best tool for problems connected with the Kendall generalized…
We address the challenge of estimating the hyperuniformity exponent $\alpha$ of a spatial point process, given only one realization of it. Assuming that the structure factor $S$ of the point process follows a vanishing power law at the…
We consider rough paths with jumps. In particular, the analogue of Lyons' extension theorem and rough integration are established in a jump setting, offering a pathwise view on stochastic integration against cadlag processes. A class of…
We solve the pricing problem for perpetual American puts and calls on dividend-paying assets. The dependence of a dividend process on the underlying stochastic factor is fairly general: any non-decreasing function is admissible. The…
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…
The irreversible motion of an open quantum system can be represented through an ensemble of state vectors following a stochastic dynamics with piecewise deterministic paths. It is shown that this representation leads to a natural definition…
We study the empirical process indexed by F^2=\{f^2 : f \in F\}, where F is a class of mean-zero functions on a probability space. We present a sharp bound on the supremum of that process which depends on the \psi_1 diameter of the class F…
We prove two martingale identities which involve exit times of Levy-driven Ornstein--Uhlenbeck processes. Using these identities we find an explicit formula for the Laplace transform of the exit time under the assumption that positive jumps…
In his seminal work from the 1950s, William Feller classified all one-dimensional diffusions on $-\infty\leq a<b\leq \infty$ in terms of their ability to access the boundary (Feller's test for explosions) and to enter the interior from the…
We model the price of a stock via a Lang\'{e}vin equation with multi-dimensional fluctuations coupled in the price and in time. We generalize previous models in that we assume that the fluctuations conditioned on the time step are compound…
Using the Euler--Maruyama technique, we show that a class of Wiener processes exist that are obtained by computing an arbitrary positive power of them. This can be accomplished with a proper set of definitions that makes meaningful the…
We consider a general d-dimensional Levy-type process with killing. Combining the classical Dyson series approach with a novel polynomial expansion of the generator A(t) of the Levy-type process, we derive a family of asymptotic…
In this article, we obtain new results for Fourier restriction type problems on compact Lie groups. We first provide a sharp form of $L^p$ estimates of irreducible characters in terms of their Laplace-Beltrami eigenvalue and as a…
In this article we define and investigate statistical operators and an entropy functional for Bernstein stochastic processes associated with hierarchies of forward-backward systems of decoupled deterministic linear parabolic partial…
Self-similar processes are useful in modeling diverse phenomena that exhibit scaling properties. Operator scaling allows a different scale factor in each coordinate. This paper develops practical methods for modeling and simulating…
In this paper, we have investigated the generalized Wiener space of bounded variation with $p$-variable. Various results are obtained such as uniform convexity and reflexivity, there was characterized the set of points of discontinuity of…
In this paper we first provide several conditional limit theorems for L\'evy processes with negative drift and regularly varying tail. Then we apply them to study the asymptotic behavior of expectations of some exponential functionals of…