Related papers: Analysis of jump processes with nondegenerate jump…

The main purpose of this chapter is to present some theoretical aspects of parametric estimation of L\'evy processes based on high-frequency sampling, with a focus on infinite activity pure-jump models. Asymptotics for several classes of…

We study the asymptotics for jump-penalized least squares regression aiming at approximating a regression function by piecewise constant functions. Besides conventional consistency and convergence rates of the estimates in $L^2([0,1))$ our…

We consider the operator $\sL$ defined on $C^2(\bR^d)$ functions by \sL f(x)&=&{1/2}\sum_{i,j=1}^d a_{ij}(x)\frac{\partial^2f(x)}{\partial x_i\partial x_j}+\sum_{i=1}^d b_i(x)\frac{\partial f(x)}{\partial x_i}…

We characterize those homogeneous translation invariant symmetric non-local operators with positive maximum principle whose harmonic functions satisfy Harnack's inequality. We also estimate the corresponding semigroup and the potential…

For any graph having a suitable uniform Poincare inequality and volume growth regularity, we establish two-sided Gaussian transition density estimates and parabolic Harnack inequality, for constant speed continuous time random walks…

We consider the system of stochastic differential equations dX_t=A(X_{t-}) dZ_t, where Z_t^1, ..., Z^d_t are independent one-dimensional symmetric stable processes of order \alpha, and the matrix-valued function A is bounded, continuous and…

We study symmetric Dirichlet forms on metric measure spaces, which may possess both strongly local and pure-jump parts. We introduce a new formulation of a tail condition for jump measures and weighted functional inequalities. Our framework…

We prove a Harnack inequality for the solutions of a difference equation with non-elliptic balanced i.i.d. coefficients. Along the way we prove a (weak) quantitative homogenisation result, which we believe is of some interest too.

We give a characterization of harmonic and subharmonic functions in terms of their mean values in balls and on spheres. This includes the converse of an inequality of Beardon's for subharmonic functions. We also obtain integral inequalities…

In this paper, we consider the following type of non-local (pseudo-differential) operators $\LL $ on $\R^d$: $$ \LL u(x) =\frac12 \sum_{i, j=1}^d \frac{\partial}{\partial x_i} (a_{ij}(x) \frac{\partial}{\partial x_j}) + \lim_{\eps…

We establish Harnack inequalities for viscosity solutions of a class of degenerate fully nonlinear anisotropic elliptic equations exhibiting non-standard growth conditions. A primary example of such operators is the degenerate anisotropic…

We show that the jumps correlation matrix of a multivariate Hawkes process is related to the Hawkes kernel matrix through a system of Wiener-Hopf integral equations. A Wiener-Hopf argument allows one to prove that this system (in which the…

We prove the Harnack inequality for antisymmetric $s$-harmonic functions, and more generally for solutions of fractional equations with zero-th order terms, in a general domain. This may be used in conjunction with the method of moving…

This paper is concerned with nonlinear elliptic equations in nondivergence form where the operator has a first order drift term which is not Lipschitz continuous. Under this condition the equations are nonhomogeneous and nonnegative…

In this paper we establish an estimate for the rate of convergence of the Krasnosel'ski\v{\i}-Mann iteration for computing fixed points of non-expansive maps. Our main result settles the Baillon-Bruck conjecture [3] on the asymptotic…

For $d\geq 1$ and $\alpha \in (0, 2)$, consider the family of pseudo differential operators $\{\Delta+ b \Delta^{\alpha/2}; b\in [0, 1]\}$ on $\R^d$ that evolves continuously from $\Delta$ to $\Delta + \Delta^{\alpha/2}$. In this paper, we…

This paper deals with feature selection procedures for spatial point processes intensity estimation. We consider regularized versions of estimating equations based on Campbell theorem derived from two classical functions: Poisson likelihood…

We introduce two general non-parametric methods for recovering paths of the Brownian and jump components from high-frequency observations of a L\'evy process. The first procedure relies on reordering of independently sampled normal…

We consider fully nonlinear integro-differential equations governed by kernels that have different homogeneities in different directions. We prove a nonlocal version of the ABP estimate, a Harnack inequality and the interior $C^{1, \gamma}$…

Let $(X,\mathcal W)$ be a balayage space, $1\in \mathcal W$, or - equivalently - let $\mathcal W$ be the set of excessive functions of a Hunt process on a locally compact space $X$ with countable base such that $\mathcal W$ separates…