Related papers: L\'evy Processes in a Step 3 Nilpotent Lie Group
We connect boundary conditions for one-sided pseudo-differential operators with the generators of modified one-sided L\'evy processes. On one hand this allows modellers to use appropriate boundary conditions with confidence when restricting…
We establish the comparison principle and the existence of solutions of the integro-differential equations with L{\'e}vy operators. The L{\'e}vy operators of our interest are infinitesmal generator of the jump processes which could be…
We develop and describe continuous and discrete transforms of class functions on a compact semisimple, but not simple, Lie group $G$ as their expansions into series of special functions that are invariant under the action of the even…
The classical notion of L\'evy process is generalized to one that takes as its values probabilities on a first order model equipped with a commutative semigroup. This is achieved by applying a convolution product on definable probabilities…
In this paper, we present the testing of four hypotheses on two streams of observations that are driven by L\'evy processes. This is applicable for sequential decision making on the state of two-sensor systems. In one case, each sensor…
Classical pseudo-differential operators of order zero on a graded nilpotent Lie group $G$ form a $^*$-subalgebra of the bounded operators on $L^2(G)$. We show that its $C^*$-closure is an extension of a noncommutative algebra of principal…
Let $\mathbb{R}^N_+= [0,\infty)^N$. We here consider a class of random fields $(X_t)_{t\in \mathbb{R}^N_+}$ which are known as Multiparameter L\'evy processes. Related multiparameter semigroups of operators and their generators are…
We develop a pseudo-differential Weyl calculus on nilpotent Lie groups which allows one to deal with magnetic perturbations of right invariant vector fields. For this purpose we investigate an infinite-dimensional Lie group constructed as…
We prove a necessary and sufficient condition for the Liouville property of the infinitesimal generator of a L\'evy process and subordinate L\'evy processes. Combining our criterion with the necessary and sufficient condition obtained by…
Exponential functionals of L\'evy processes appear as stationary distributions of generalized Ornstein-Uhlenbeck (GOU) processes. In this paper we obtain the infinitesimal generator of the GOU process and show that it is a Feller process.…
For a simple real Lie group $G$ with Heisenberg parabolic subgroup $P$, we study the corresponding degenerate principal series representations. For a certain induction parameter the kernel of the conformally invariant system of second order…
We provide a Hunt type formula for the infinitesimal generators of L\'evy process on the quantum groups $SU_q(N)$ and $U_q(N)$. In particular, we obtain a decomposition of such generators into a gaussian part and a `jump type' part…
Strongly continuous semigroups of unital completely positive maps (i.e. quantum Markov semigroups or quantum dynamical semigroups) on compact quantum groups are studied. We show that quantum Markov semigroups on the universal or reduced…
In contrast to their seemingly simple and shared structure of independence and stationarity, L\'evy processes exhibit a wide variety of behaviors, from the self-similar Wiener process to piecewise-constant compound Poisson processes.…
We derive explicitly the coupling property for the transition semigroup of a L\'{e}vy process and gradient estimates for the associated semigroup of transition operators. This is based on the asymptotic behaviour of the symbol or the…
Classical pseudo-differential calculus on $\mathbb{R}^{d}$ can be viewed as a (non-commutative) functional calculus for the standard position and momentum operators $(Q_{1}, \dots , Q_{d})$ and $(P_{1}, \dots , P_{d})$. We generalise this…
In this paper, we define in an intrinsic way operators on a compact Lie group by means of symbols using the representations of the group. The main purpose is to show that these operators form a symbolic pseudo-differential calculus which…
We discuss the recent developments of semi-classical and micro-local analysis in the context of nilpotent Lie groups and for sub-elliptic operators. In particular, we give an overview of pseudo-differential calculi recently defined on…
For a (killed) spectrally negative L\'evy process we provide an analytic expression for the distribution of its overshoot over a fixed level in terms of the infinitesimal generator and the scale function of the process. Our identity…
We study the relation between L\'evy processes under nonlinear expectations, nonlinear semigroups and fully nonlinear PDEs. First, we establish a one-to-one relation between nonlinear L\'evy processes and nonlinear Markovian convolution…