Related papers: A Donsker Theorem for L\'evy Measures
We derive a necessary and sufficient condition for stochastic processes to have almost periodic finite dimensional distributions; in particular, we obtain characterizations for infinitely divisible processes to be almost periodic in terms…
We consider a general class of high order weak approximation schemes for stochastic differential equations driven by L\'evy processes with infinite activity. These schemes combine a compound Poisson approximation for the jump part of the…
We study spectral-theoretic properties of non-self-adjoint operators arising in the study of one-dimensional L\'evy processes with completely monotone jumps with a one-sided barrier. With no further assumptions, we provide an integral…
We prove a functional central limit theorem for partial sums of symmetric stationary long range dependent heavy tailed infinitely divisible processes with a certain type of negative dependence. Previously only positive dependence could be…
We derive a simple closed analytical expression for the total entropy production along a single stochastic trajectory of a Brownian particle diffusing on a periodic potential under an external constant force. By numerical simulations we…
This paper is devoted to the fractional generalization of the Fokker-Planck equation associated with a stochastic differential equation in a bounded domain. The driving process of the stochastic differential equation is a L\'evy process…
We examine three equivalent constructions of a censored symmetric purely discontinuous L\'evy process on an open set $D$; via the corresponding Dirichlet form, through the Feynman-Kac transform of the L\'evy process killed outside of $D$…
Stochastic processes play a key role for modeling a huge variety of transport problems out of equilibrium, with manifold applications throughout the natural and social sciences. To formulate models of stochastic dynamics the conventional…
It is well known that freeness appears in the high-dimensional limit of independence for matrices. Thus, for instance, the additive free Brownian motion can be seen as the limit of the Brownian motion on hermitian matrices. More generally,…
This paper establishes a functional law of large numbers and a functional central limit theorem for marked Hawkes point measures and their corresponding shot noise processes. We prove that the normalized random measure can be approximated…
An upper bound for the Wasserstein distance is provided in the general framework of the Wiener-Poisson space. Is obtained from this bound a second order Poincar\'e-type inequality which is useful in terms of computations. For completeness…
Under certain mild conditions, limit theorems for additive functionals of some $d$-dimensional self-similar Gaussian processes are obtained. These limit theorems work for general Gaussian processes including fractional Brownian motions,…
We study the asymptotic shape of the trajectory of the stochastic gradient descent algorithm applied to a convex objective function. Under mild regularity assumptions, we prove a functional central limit theorem for the properly rescaled…
In a recent article, Krapivsky and Redner (J. Stat. Mech. 093208 (2018)) established that the distribution of the first hitting times for a diffusing particle subject to hitting an absorber is independent of the direction of the external…
Several stochastic processes related to transient L\'evy processes with potential densities $u(x,y)=u(y-x)$, that need not be symmetric nor bounded on the diagonal, are defined and studied. They are real valued processes on a space of…
We establish optimal $C^s$ boundary regularity for the most general class of (linear and translation invariant) nonlocal elliptic operator of order $2s$. Namely, we consider L\'evy operators that are symmetric and its Fourier symbol…
In this note - starting from $d$-dimensional (with $d>1$) fuzzy vectors - we prove Donsker's classical invariance principle. We consider a fuzzy random walk ${S^*_n}=X^*_1+\cdots+X^*_n,$ where $\{X^*_i\}_1^{\infty}$ is a sequence of…
By using large deviation theory that deals with the decay of probabilities of rare events on an exponential scale, we study the longtime behaviors and establish action functionals for scaled Brownian motion and L\'evy processes with…
We consider a nonlinear stochastic differential equation driven by an $\alpha$-stable L\'{e}vy process ($1<\alpha<2$). We first obtain some regularity results for the probability density of its invariant measure via establishing the a…
We establish a new class of functional central limit theorems for partial sum of certain symmetric stationary infinitely divisible processes with regularly varying L\'{e}vy measures. The limit process is a new class of symmetric stable…