Related papers: L\'evy Processes in a Step 3 Nilpotent Lie Group
We consider the stochastic differential equations of the form \begin{equation*} \begin{cases} dX^ x(t) = \sigma(X(t-)) dL(t) \\ X^ x(0)=x,\quad x\in\mathbb{R}^ d, \end{cases} \end{equation*} where $\sigma:\mathbb{R}^ d\to \mathbb{R}^ d$ is…
We construct in the small-time setting the upper and lower estimates for the transition probability density of a L\'evy process in $\rn$. Our approach relies on the complex analysis technique and the asymptotic analysis of the inverse…
In this article we introduce a finite difference approximation for integro-differential operators of L\'evy type. We approximate solutions of integro-differential equations, where the second order operator is allowed to degenerate. In the…
Fractional Brownian motion can be represented as an integral of a deterministic kernel w.r.t. an ordinary Brownian motion either on infinite or compact interval. In previous literature fractional L\'evy processes are defined by integrating…
In this paper, we study recurrence and transience of L\'evy-type processes, that is, Feller processes associated with pseudo-differential operators. Since the recurrence property of L\'evy-type processes in dimensions greater than two is…
We generalize the classical construction principles of infinite-dimensional real (and complex) Lie groups to the case of Lie groups over non-discrete topological fields. In particular, we discuss linear Lie groups, mapping groups, test…
Conditional independence and graphical models are crucial concepts for sparsity and statistical modeling in higher dimensions. For L\'evy processes, a widely applied class of stochastic processes, these notions have not been studied. By the…
We present a relatively simple and mostly elementary proof of the L\'evy--Khintchine formula for subordinators. The main idea is to study the Poisson process time-changed by the subordinator. The technical tools used are conditional…
We search for pseudo-differential operators acting on holomorphic Sobolev spaces. The operators should mirror the standard Sobolev mapping property in the holomorphic analogues. The setting is a closed real-analytic Riemannian manifold, or…
In this paper we present some limit theorems for power variation of L\'evy semi-stationary processes in the setting of infill asymptotics. L\'evy semi-stationary processes, which are a one-dimensional analogue of ambit fields, are moving…
Kuznetsov et al. (2011) and Kuznetsov and Pardo (2013) introduced the family of Hypergeometric L\'evy processes. They appear naturally in the study of fluctuations of stable processes when one analyses stable processes through the theory of…
We show the existence of L\'evy-type stochastic processes in one space dimension with characteristic triplets that are either discontinuous at thresholds, or are stable-like with stability index functions for which the closures of the…
We show some Chung-type $\liminf$ law of the iterated logarithm results at zero for a class of (pure-jump) Feller or L\'evy-type processes. This class includes all L\'evy processes. The norming function is given in terms of the symbol of…
In this article, we consider the problem of periodic homogenization of a Feller process generated by a pseudo-differential operator, the so-called L\'evy-type process. Under the assumptions that the generator has rapidly periodically…
In this technical report the $C_0$ semigroup of Frobenius-Perron operators on $L^1(X)$ is considered, where the underlying dynamical system is such that trajectories may leave the state space $X$ and terminate. We introduce a discrete…
We extend a classical theorem of Courr\`{e}ge to Lie groups in a global setting, thus characterising all linear operators on the space of smooth functions of compact support that satisfy the positive maximum principle. We show that these…
Given a group action, known by its infinitesimal generators, we exhibit a complete set of syzygies on a generating set of differential invariants. For that we elaborate on the reinterpretation of Cartan's moving frame by Fels and Olver…
Using complex analysis techniques we obtain precise asymptotic approximations for the kernels corresponding to the symmetric $\alpha$-stable processes and their fractional derivatives. We apply our method to general L\'evy processes whose…
For each sequence $\{c_n\}_n$ in $l_{1}(\N)$ we define an operator $A$ in the hyperfinite $\mathrm{II}_1$-factor $\mathcal{R}$. We prove that these operators are quasinilpotent and they generate the whole hyperfinite $\mathrm{II}_1$-factor.…
L\'evy processes are widely used in financial mathematics to model return data. Price processes are then defined as a corresponding geometric L\'evy process, implying the fact that returns are independent. In this paper we propose an…