Related papers: On the small-time behavior of subordinators

We introduce a general theory on stationary approximations for locally stationary continuous-time processes. Based on the stationary approximation, we use $\theta$-weak dependence to establish laws of large numbers and central limit type…

Last passage times arise in a number of areas of applied probability, including risk theory and degradation models. Such times are obviously not stopping times since they depend on the whole path of the underlying process. We consider the…

We consider the passage time problem for L\'evy processes, emphasising heavy tailed cases. Results are obtained under quite mild assumptions, namely, drift to $-\infty$ a.s. of the process, possibly at a linear rate (the finite mean case),…

We show that for weakly dependent random variables the relative entropy functional satisfies an approximate version of the standard tensorization property which holds in the independent case. As a corollary we obtain a family of…

In this paper we establish functional Erd\H{o}s-Renyi laws for L\'evy processes, i.e. limit theorems for sets of functions on [0,1] associated to their increments. First, we determine precise conditions under which, in a general framework,…

For a continuous-time random walk $X=\{X_t,t\ge 0\}$ (in general non-Markov), we study the asymptotic behavior, as $t\rightarrow \infty$, of the normalized additive functional $c_t\int_0^{t} f(X_s)ds$, $t\ge 0$. Similarly to the Markov…

We prove several necessary and sufficient conditions for the existence of (smooth) transition probability densities for L\'evy processes and isotropic L\'evy processes. Under some mild conditions on the characteristic exponent we calculate…

Let $\{Z_t, t\geq 0\}$ be a strictly stable process on $\R$ with index $\alpha\in (0,2]$. We prove that for every $p > \alpha$, there exists $\gamma = \gamma (\alpha, p)$ and $\k = \k (\alpha, p)\in (0, +\infty)$ such that…

Let $\psi$ be a positive function defined near the origin such that $\lim_{t\to 0^{+}}\psi(t)=0$. We consider the operator \begin{equation*} T_\theta f(x) = \lim_{\varepsilon\to 0^+} \int_\varepsilon^1 e^{i\gamma(t)}f(x-t)…

Let $X=(X_t)_{t\ge0}$ be a stable L\'{e}vy process of index $\alpha \in(1,2)$ with no negative jumps and let $S_t=\sup_{0\le s\le t}X_s$ denote its running supremum for $t>0$. We show that the density function $f_t$ of $S_t$ can be…

There exist only a few known examples of subordinators for which the transition probability density can be computed explicitly along side an expression for its L\'evy measure and Laplace exponent. Such examples are useful in several areas…

We investigate the connection between conditional local limit theorems and the local time of integer-valued stationary processes. We show that a conditional local limit theorem (at 0) implies the convergence of local times to Mittag-Leffler…

We start by defining a subordinator by means of the lower-incomplete gamma function. It can be considered as an approximation of the stable subordinator, easier to be handled thank to its finite activity. A tempered version is also…

A continuous-time particle system on the real line satisfying the branching property and an exponential integrability condition is called a branching L\'evy process, and its law is characterized by a triplet $(\sigma^2,a,\Lambda)$. We…

The main aim of this note, which can be viewed as a certain addendum to the paper \cite{2020}, is to propose several new inequalities for the function $y=t\ln t.$ We consider the local behaviour of this function near the point $t=1,$ as…

We propose a new weak convergence theorem for martingales, under gentler conditions than the usual convergence in probability of the sequence of associated quadratic variations. Its proof requires the combined use of Skorohod's…

This article deals with the asymptotic behaviour as $t\to +\infty$ of the survival function $P[T > t],$ where $T$ is the first passage time above a non negative level of a random process starting from zero. In many cases of physical…

We establish a dichotomy in the small-time asymptotic behavior of the spectral heat content (SHC) for symmetric, but not necessarily isotropic, L\'evy processes whose L\'evy density satisfies a weak lower scaling condition near zero. This…

The stable fragmentation with index of self-similarity $\alpha \in [-1/2,0)$ is derived by looking at the masses of the subtrees formed by discarding the parts of a $(1 + \alpha)^{-1}$--stable continuum random tree below height $t$, for $t…

This work is devoted to averaging principle of a two-time-scale stochastic partial differential equation on a bounded interval $[0, l]$, where both the fast and slow components are directly perturbed by additive noises. Under some regular…