Related papers: On the Wiener-Hopf factorization for Levy processe…
Here we propose a different perspective of the deep factorisation in Kyprianou (2015) based on determining potentials. Indeed, we factorise the inverse of the MAP-exponent associated to a stable process via the Lamperti-Kiu transform. Here…
We provide asymptotic results and develop high frequency statistical procedures for time-changed L\'evy processes sampled at random instants. The sampling times are given by first hitting times of symmetric barriers whose distance with…
Some preliminaries and basic facts regarding unbounded Wiener-Hopf operators (WH) are provided. WH with rational symbols are studied in detail showing that they are densely defined closed and have finite dimensional kernels and deficiency…
This paper considers discretization of the L\'evy process appearing in the Lamperti representation of a strictly positive self-similar Markov process. Limit theorems for the resulting approximation are established under some regularity…
A fluctuation theory and, in particular, a theory of scale functions is developed for upwards skip-free L\'evy chains, i.e. for right-continuous random walks embedded into continuous time as compound Poisson processes. This is done by…
When restricted to some non-negative multiplicative function, say f, bounded on primes and that vanishes on non square-free integers, our result provides us with an asymptotic for $\sum_{n \le X}f(n)/n$ with error term $O((\log…
We first introduce and derive some basic properties of a two-parameters family of one-sided Levy processes. Their Laplace exponents are given in terms of the Pochhammer symbol. This family includes, in a limit case, the family of Brownian…
Hopf algebras appear in connection with various problems in Pure Mathematics and Theoretical Physics, mainly through their categoriesof representations, which are examples of tensor categories. In recent years, there have been major…
To address the ill-posedness of the inverse source problem for the one-dimensional stochastic Helmholtz equations without attenuation, this study develops a novel computational framework designed to mitigate this inherent challenge at the…
The purpose of this review article is to give an up to date account of the theory and application of scale functions for spectrally negative Levy processes. Our review also includes the first extensive overview of how to work numerically…
We consider a class of infinite-time horizon optimal stopping problems for spectrally negative Levy processes. Focusing on strategies of threshold type, we write explicit expressions for the corresponding expected payoff via the scale…
A L\'evy processes resurrected in the positive half-line is a Markov process obtained by removing successively all jumps that make it negative. A natural question, given this construction, is whether the resulting process is absorbed at 0…
The concept of a L\'evy subordinator is generalized to a family of non-decreasing stochastic processes, which are parameterized in terms of two Bernstein functions. Whereas the independent increments property is only maintained in the…
We study a combination of the refracted and reflected L\'evy processes. Given a spectrally negative L\'evy process and two boundaries, it is reflected at the lower boundary while, whenever it is above the upper boundary, a linear drift at a…
We provide a complete solution to the problem of infinite quantum signal processing for the class of Szeg\H{o} functions, which are functions that satisfy a logarithmic integrability condition and include almost any function that allows for…
In this article, we derive, using Fourier series and multiple derivative of the function $\pi/\sin(\pi x)$, series representations for positive powers of $\pi$. We also show that the Euler-Wallis product can be easily obtained from the same…
We prove the Hopf boundary point lemma for solutions of the Dirichlet problem involving the Schr\"odinger operator $- \Delta + V$ with a nonnegative potential $V$ which merely belongs to $L_{\mathrm{loc}}^1(\Omega)$. More precisely, if $u…
Embedding formula allows to recycle solution of a family boundary value problems by expressing all the solutions in terms of a small number of solutions. Such formulas have been previously derived in the context of diffraction by applying a…
Levy processes, which have stationary independent increments, are ideal for modelling the various types of noise that can arise in communication channels. If a Levy process admits exponential moments, then there exists a parametric family…
In this paper, we study an approximation scheme for L\'evy processes with drift in terms of a representation that is akin to the celebrated Mehler formula for L\'evy-Ornstein-Uhlenbeck processes. The approximation scheme is based on a…