Related papers: Trace estimates for relativistic stable processes
Let $\mathcal X=\{\mathcal X_t:\, t\geq0,\, \mathcal X_0=0\}$ be a mean zero $\beta$-stable random walk on $\mathbb{Z}$ with inhomogeneous jump rates $\{\tau_i^{-1}: i\in\mathbb{Z}\}$, with $\beta\in(1,2]$ and $\{\tau_i: i\in\mathbb{Z}\}$ a…
We develop at-the-money call-price and implied volatility asymptotic expansions in time to maturity for a class of asset-price models whose log returns follow a L\'evy process. Under mild assumptions placing the driving L\'evy process in…
A new approach to the problem of finding the asymptotical behaviour of large orders of semiclassical expansion is suggested. Asymptotics of high orders not only for eigenvalues, but also for eigenfunctions, are constructed. Thus, one can…
This paper extends results of M. van den Berg on two-term asymptotics for the trace of Sch\"odinger operators when the Laplacian is replaced by non-local (integral) operators corresponding to rotationally symmetric stable processes and…
In this paper, we establish the precise asymptotic behaviors of the tail probability and the transition density of a large class of isotropic L\'evy processes when the scaling order is between 0 and 2 including 2. We also obtain the precise…
Let $X$ be a real valued L\'evy process that is in the domain of attraction of a stable law without centering with norming function $c.$ As an analogue of the random walk results in \cite{vw} and \cite{rad} we study the local behaviour of…
We obtain the Lifschitz tail asymptotics for the integrated density of states of the subordinate $\alpha-$stable processes on the Sierpi\'nski gasket $\mathcal G,$ evolving among killing Poissonian obstacles. Simultaneously, we derive the…
We study Kleinberg navigation (the search of a target in a d-dimensional lattice, where each site is connected to one other random site at distance r, with probability proportional to r^{-a}) by means of an exact master equation for the…
We propose and analyze a specific asymptotic stochastic order for random processes based on the measure of departure discussed in the literature. As applications, we stochastically compare mixtures of order statistics and record values…
In this paper, we consider semi-Markov processes whose transition times and transition probabilities depend on a small parameter $\varepsilon$. Understanding the asymptotic behavior of such processes is needed in order to study the…
For n + 1 particles moving independently on a straight line, we study the question of how long the leading position of one of them can last. Our focus is the asymptotics of the probability p(T,n) that the leader time will exceed T when n…
We study asymptotic behaviour of stochastic approximation procedures with three main characteristics: truncations with random moving bounds, a matrix valued random step-size sequence, and a dynamically changing random regression function.…
A classical fact of the theory of almost periodic functions is the existence of their asymptotic distributions. In probabilistic terms, this means that if $f$ is a Besicovitch almost periodic function and $V$ is a random variable uniformly…
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…
The paper establishes error orders for integral limit approximations to the traces of products of Toeplitz matrices generated by integrable real symmetric functions defined on the unit circle. These approximations and the corresponding…
We present an asymptotic expansion formula of an estimator for the drift coefficient of the fractional Ornstein-Uhlenbeck process. As the machinery, we apply the general expansion scheme for Wiener functionals recently developed by the…
We derive a nonparametric higher-order asymptotic expansion for small-time changes of conditional characteristic functions of It\^o semimartingale increments. The asymptotics setup is of joint type: both the length of the time interval of…
If the step distribution in a renewal process has finite mean and regularly varying tail with index -{\alpha}, 1<{\alpha}<2, the first two terms in the asymptotic expansion of the renewal function have been known for many years. Here we…
We study the asymptotic stability of the semi-discrete (SD) numerical method for the approximation of stochastic differential equations. Recently, we examined the order of $\mathcal L^2$-convergence of the truncated SD method and showed…
This paper investigates the asymptotic behaviour of solutions to certain infinite systems of coupled recurrence relations. In particular, we obtain a characterisation of those initial values which lead to a convergent solution, and for…