Related papers: Joint asymptotic distribution of certain path func…

We find necessary and sufficient conditions for almost sure finiteness of integral functionals of spectrally positive L\'evy processes. Via Lamperti type transforms, these results can be applied to obtain new integral tests on extinction…

In this paper, we consider the $(1,R)$ state-dependent reflecting random walk (RW) on the half line, allowing the size of jumps to the right at maximal $R$ and to the left only 1. We provide an explicit criterion for positive recurrence and…

Consider the normalized partial sums of a real-valued function $F$ of a Markov chain, \[\phi_n:=n^{-1}\sum_{k=0}^{n-1}F(\Phi(k)),\qquad n\ge1.\] The chain $\{\Phi(k):k\ge0\}$ takes values in a general state space $\mathsf {X}$, with…

Let $Z_{n,}n=0,1,...,$ be a branching process evolving in the random environment generated by a sequence of iid generating functions $% f_{0}(s),f_{1}(s),...,$ and let $S_{0}=0,S_{k}=X_{1}+...+X_{k},k\geq 1,$ be the associated random walk…

In this paper we consider a multivariate risk model with common renewal process, while the logarithmic returns of the insurers investment portfolio, are described by a Levy process. In the two main results are established an asymptotic…

Consider compound Poisson processes with negative drift and no negative jumps, which converge to some spectrally positive L\'evy process with non-zero L\'evy measure. In this paper we study the asymptotic behavior of the local time process,…

Our goal is to find an asymptotic behavior as $n\to\infty$ of orthogonal polynomials $P_{n}(z)$ defined by the Jacobi recurrence coefficients $a_{n}, b_{n}$. We suppose that the off-diagonal coefficients $a_{n}$ grow so rapidly that the…

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.

Classical conditions for asymptotic stability of periodic solutions bifurcating from a limit cycle rely on the derivative of the corresponding bifurcation function F at the bifurcation point t. We show that for analytic systems this result…

A representation for the Riemann zeta function valid for arbitrary complex $s=\sigma+it$ is $\zeta(s)=\sum_{n=0}^\infty A(n,s)$, where \[A(n,s)=\frac{2^{-n-1}}{1-2^{1-s}} \sum_{k=0}^n \left(\!\begin{array}{c}n\\k\end{array}\!\right)…

In this paper we study the exponential functionals of the processes $X$ with independent increments , namely $$I_t= \int _0^t\exp(-X_s)ds, _,\,\, t\geq 0,$$ and also $$I_{\infty}= \int _0^{\infty}\exp(-X_s)ds.$$ When $X$ is a…

In this article we derive formulas for the probability $P(\sup_{t\leq T} X(t)>u)$ $T>0$ and $P(\sup_{t<\infty} X(t)>u)$ where $X$ is a spectrally positive L\'evy process with infinite variation. The formulas are generalizations of the…

In this paper the asymptotic distribution of estimators is derived in a general regression setting where rank restrictions on a submatrix of the coefficient matrix are imposed and the regressors can include stationary or I(1) processes.…

For a spectrally negative L\'evy process $X$, consider $g_t$, the last time $X$ is below the level zero before time $t\geq 0$. We use a perturbation method for L\'evy processes to derive an It\^o formula for the three-dimensional process…

We introduce Ising-H\"usler-Reiss processes, a new class of multivariate L\'evy processes that allows for sparse modeling of the path-wise conditional independence structure between marginal stable processes with different stability…

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…

We establish necessary and sufficient conditions for convergence (in the sense of finite dimensional distributions) of multiplicative measures on the set of partitions. We show that this convergence is equivalent to asymptotic independence…

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…

Let $\{Y_i,-\infty<i<\infty\}$ be a doubly infinite sequence of identically distributed, negatively dependent random variables under sub-linear expectations, $\{a_i,-\infty<i<\infty\}$ be an absolutely summable sequence of real numbers. In…

In a decision-theoretic framework, the minimax lower bound provides the worst-case performance of estimators relative to a given class of statistical models. For parametric and semiparametric models, the H\'{a}jek--Le Cam local asymptotic…