Related papers: Solutions of martingale problems for L\'evy-type o…

Suppose that a real valued process X is given as a solution to a stochastic differential equation. Then, for any twice continuously differentiable function f, the backward Kolmogorov equation gives a condition for f(t,X) to be a local…

For $2a$-order strongly elliptic operators $P$ generalizing $(-\Delta )^a$, $0<a<1$, the treatment of the homogeneous Dirichlet problem on a bounded open set $\Omega \subset R^n$ by pseudodifferential methods, has been extended in a recent…

Distributional properties -including Laplace transforms- of integrals of Markov processes received a lot of attention in the literature. In this paper, we complete existing results in several ways. First, we provide the analytical solution…

We prove smoothing properties of nonlocal transition semigroups associated to a class of stochastic differential equations (SDE) driven by additive pure-jump L\'evy noise. In particular, we assume that the L\'evy process driving the SDE is…

Under proper scaling and distributional assumptions, we prove the convergence in the Skorokhod space endowed with the M_1-topology of a sequence of stochastic integrals of a deterministic function driven by a time-changed symmetric…

We consider non-degenerate SDEs with a $\beta$-Holder continuous and bounded drift term and driven by a Levy noise $L$ which is of $\alpha$-stable type. If $\alpha \in [1,2)$ and $\beta \in (1 - \frac{\alpha}{2},1) $ we show pathwise…

It is frequently the case that a white-noise-driven parabolic and/or hyperbolic stochastic partial differential equation (SPDE) can have random-field solutions only in spatial dimension one. Here we show that in many cases, where the…

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 establish functional analytic properties of the Stokes operator with bounded measurable coefficients on $L^p_{\sigma} (\mathbb{R}^d)$, $d \geq 2$, for $\lvert 1 / p - 1 / 2 \rvert < 1 / d$. These include optimal resolvent bounds and the…

We analyze confining mechanisms for L\'evy flights evolving under an influence of external potentials. Given a stationary probability density function (pdf), we address the reverse engineering problem: design a jump-type stochastic process…

In this paper, we introduce branching processes in a L\'evy random environment. In order to define this class of processes, we study a particular class of non-negative stochastic differential equations driven by Brownian motions and Poisson…

General theorems on the closability and quasi-regularity of non-local Markovian symmetric forms on probability spaces $(S, {\cal B}(S), \mu)$, with $S$ Fr{\'e}chet spaces such that $S \subset {\mathbb R}^{\mathbb N}$, ${\cal B}(S)$ is the…

Consider the following stochastic differential equation (SDE) $$dX_t = b(t,X_{t-}) \, dt+ dL_t, \quad X_0 = x,$$ driven by a $d$-dimensional L\'evy process $(L_t)_{t \geq 0}$. We establish conditions on the L\'evy process and the drift…

Multistable L\'evy motions are extensions of L\'evy motions where the stability index is allowed to vary in time. Several constructions of these processes have been introduced recently, based on Poisson and Ferguson-Klass-LePage series…

We consider a stochastic differential equations which is driven by a Levy process. It turns out that the solution process is a Feller process if the coefficient of the SDE is bounded. Using a probabilistic formula we calculate the symbol,…

In this paper, we solve exit problems for a level-dependent L\'evy process which is exponentially killed with a killing intensity that depends on the present state of the process. Moreover, we analyse the respective resolvents. All…

This work shows how exponential concentration inequalities for additive functionals of stochastic processes over a finite time interval can be derived from concentration inequalities for martingales. The approach is entirely probabilistic…

The Fokker-Planck equations for stochastic dynamical systems, with non-Gaussian $\alpha-$stable symmetric L\'evy motions, have a nonlocal or fractional Laplacian term. This nonlocality is the manifestation of the effect of non-Gaussian…

We suppose that a L\'evy process is observed at discrete time points. A rather general construction of minimum-distance estimators is shown to give consistent estimators of the L\'evy-Khinchine characteristics as the number of observations…

In this paper we investigate a class of elliptic problems involving a nonlocal Kirchhoff type operator with variable coefficients and data changing its sign. Under appropriated conditions on the coefficients, we have shown existence and…