Related papers: Convolution equivalent L\'{e}vy processes and firs…
A natural extension of a right-continuous integer-valued random walk is one which can jump to the right by one or two units. First passage times above a given fixed level then admit a tractable Laplace transform (probability generating…
With nontrivial entropy production, first passage process is one of the most common nonequilibrium process in stochastic thermodynamics. Using one dimensional birth and death precess as a model framework, approximated expressions of mean…
We are interested in the law of the first passage time of an Ornstein-Uhlenbeck process to time-varying thresholds. We show that this problem is connected to the laws of the first passage time of the process to members of a two-parameter…
We obtain general lower estimates of transition densities of jump L\'evy processes. We use them for processes with L\'evy measures having bounded support, processes with exponentially decaying L\'evy measures for large times and for…
We present a method for computing the likelihood of a mixed hitting-time model that specifies durations as the first time a latent L\'evy process crosses a heterogeneous threshold. This likelihood is not generally known in closed form, but…
We consider the spectrally negative Levy processes and determine the joint laws for the quantities such as the first and last passage times over a fixed level, the overshoots and undershoots at first passage, the minimum, the maximum and…
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…
When is it possible to interpret a given Markov process as a L\'evy-like process? Since the class of L\'evy processes can be defined by the relation between transition probabilities and convolutions, the answer to this question lies in the…
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…
Long-time limit of one-dimensional L\'{e}vy processes weighted and normalized with respect to the exponential functional of two-point local times are studied. The limit processes may vary according to the choice of random clocks.
In this paper we extend results of L.A. Shepp by finding explicit formulas for the first passage probability $F_{a,b}(T\, |\, x)={\rm Pr}(S(t)<a+bt \text{ for all } t\in[0,T]\,\, | \,\,S(0)=x)$, for all $T>0$, where $S(t)$ is a Gaussian…
We characterize the small-time asymptotic behavior of the exit probability of a L\'evy process out of a two-sided interval and of the law of its overshoot, conditionally on the terminal value of the process. The asymptotic expansions are…
The L\'evy walk process with rests is discussed. The jumping time is governed by an $\alpha$-stable distribution with $\alpha>1$ while a waiting time distribution is Poissonian and involves a position-dependent rate which reflects a…
Let $X$ be a real L\'evy process and let $\Xpos $ be the process conditioned to stay positive. We assume that $ 0 $ is regular for $(-\infty, 0)$ and $(0, +\infty) $ with respect to $X$. Using elementary excursion theory arguments, we…
We consider a run-and-tumble particle on a finite interval $[a,b]$ with two absorbing end points. The particle has an internal velocity state that switches between three values $v,0,-v$ at exponential times, thus incorporating positive…
In this paper, we derive identities for the upward and downward exit problems and resolvents for a process whose motion changes between two L\'evy processes if it is above (or below) a barrier $b$ and coincides with a Poissonian arrival…
We establish limit theorems for U-statistics indexed by a random walk on Z^d and we express the limit in terms of some Levy sheet Z(s,t). Under some hypotheses, we prove that the limit process is Z(t,t) if the random walk is transient or…
We wish to characterise when a L\'{e}vy process $X_t$ crosses boundaries like $t^\kappa$, $\kappa>0$, in a one or two-sided sense, for small times $t$; thus, we enquire when $\limsup_{t\downarrow 0}|X_t|/t^{\kappa}$, $\limsup_{t\downarrow…
We consider a supercritical branching L\'evy process on the real line. Under mild moment assumptions on the number of offspring and their displacements, we prove a second-order limit theorem on the empirical mean position.
We consider a process $Z$ on the real line composed from a L\'evy process and its exponentially tilted version killed with arbitrary rates and give an expression for the joint law of $Z$ seen from its supremum, the supremum $\overline Z$…