Related papers: On the small-time behavior of subordinators

In this paper we establish local estimates for the first passage time of a subordinator under the assumption that it belongs to the Feller class, either at zero or infinity, having as a particular case the subordinators which are in the…

For a uniform process $\{ X_t: t\in E\}$ (by which $X_t $ is uniformly distributed on $(0,1)$ for $t\in E$) and a function $w(x)>0$ on $(0,1)$, we give a sufficient condition for the weak convergence of the empirical process based on $\{…

Let Z be an Rd-valued Levy process with strong finite p-variation for some p<2. We prove that the ''decompensated'' process Y obtained from Z by annihilating its generalized drift has a small deviations property in p-variation. This…

In this article subordination of random walks in $R^d$ is considered. We prove that subordination of random walks in the sense of [BSC12] yields the same process as subordination of L\'evy processes (in the sense of Bochner). Furthermore,…

This article introduces a weak pseudo-inverse of a monotone function, which is applied to characterize the associativity of a two-place function $T: [0,1]^2\rightarrow [0,1]$ defined by $T(x,y)=t^{[-1]}(F(t(x),t(y)))$ where…

Let $p_t(x)$, $f_t(x)$ and $q_t^*(x)$ be the densities at time $t$ of a real L\'evy process, its running supremum and the entrance law of the reflected excursions at the infimum. We provide relationships between the asymptotic behaviour of…

It is known that the exponential functional of a Poisson process admits a probability density function in the form of an infinite series. In this paper, we obtain an explicit expression for the density function of the exponential functional…

Let $\{L(t),t\geq 0\}$ be a L\'{e}vy process with representative random variable $L(1)$ defined by the infinitely divisible logarithmic series distribution. We study here the transition probability and L\'{e}vy measure of this process. We…

This paper deals with the large deviations behavior of a stochastic process called thinned Levy process. This process appeared recently as a stochastic-process limit in the context of critical inhomogeneous random graphs. The process has a…

We consider solutions of L\'evy-driven stochastic differential equations of the form $\mathrm{d} X_t=\sigma(X_{t-})\mathrm{d} L_t$, $X_0=x$ where the function $\sigma$ is twice continuously differentiable and maximal of linear growth and…

We use the martingale convergence method to get the weak convergence theorem on general functionals of partial sums of independent heavy-tailed random variables. The limiting process is the stochastic integral driven by $\alpha-$stable…

Consider the boundary case in a one-dimensional super-critical branching random walk. It is known that upon the survival of the system, the minimal position after $n$ steps behaves in probability like ${3\over 2} \log n$ when $n\to \infty$.…

We consider a random process as a solution of stochastic differential equations with dependence of the coefficients on small parameter $\varepsilon$ and we suppose that the drift coefficients of these equations are unbounded on the…

We provide exact large-time equivalents of the density and upper tail distributions of the exponential functional of a subordinator in terms of its Laplace exponents. This improves previous results on the logarithmic asymptotic behaviour of…

Takeda-Yano determined the limit of L\'{e}vy processes conditioned to avoid zero via various random clocks in terms of Doob's $h$-transform, where the limit processes may differ according to the choice of random clocks. The purpose of this…

We present a complete characterization of the asymptotic behaviour of a correlated Bernoulli sequence { which depends on the parameter $\theta \in [0,1]$. A martingale theory based approach will allow} us to prove versions of the law of…

We investigate the asymptotic behavior of sample functions of stable processes when $t{\to}\infty$. We compare our results with the iterated logarithm law, results for the first hitting time and most visited sites problems.

The first passage time process of a L\'evy subordinator with heavy-tailed L\'evy measure has long-range dependent paths. The random fluctuations that appear under two natural schemes of summation and time scaling of such stochastic…

For a strictly stationary sequence of random variables we derive functional convergence of the joint partial sum and partial maxima process under joint regular variation with index $\alpha \in (0,2)$ and weak dependence conditions. The…

This work investigates the strong and weak convergence orders of numerical methods for SDEs driven by time-changed L\'{e}vy noise under the globally Lipschitz conditions. Based on the duality theorem, we prove that the numerical…