Related papers: Barriers, exit time and survival probability for u…
We study the joint exit probabilities of particles in the totally asymmetric simple exclusion process (TASEP) from space-time sets of given form. We extend previous results on the space-time correlation functions of the TASEP, which…
Various recent results on quantum L\'evy processes are presented. The first part provides an introduction to the theory of L\'evy processes on involutive bialgebras. The notion of independence used for these processes is tensor…
Path decomposition is performed to characterize the law of the pre/post-supremum, post-infimum and the intermediate processes of a spectrally negative Levy process taken up to an independent exponential time T: As a result, mainly the…
We study the Escape Problem for discrete-time linear dynamical systems over compact semialgebraic sets. We establish a uniform upper bound on the number of iterations it takes for every orbit of a rational matrix to escape a compact…
For refracted spectrally negative L\'evy processes, we identify expressions of several quantities related to Laplace transforms on their weighted occupation times until first exit times. Such quantities are expressed in terms of unique…
Long memory processes driven by L\'evy noise with finite second-order moments have been well studied in the literature. They form a very rich class of processes presenting an autocovariance function which decays like a power function. Here,…
Variational formulas for the Laplace transform of the exit time from an open set of a Hunt process generated by a regular lower bounded semi-Dirichlet form are established. While for symmetric Markov processes, variational formulas are…
We discuss limit distributions for hitting-time functions of certain exceptional families of asymptotically rare events for ergodic probability preserving transformations. The abstract core is an inducing argument. The latter applies, for…
We investigate the properties of multifractal products of geometric Gaussian processes with possible long-range dependence and geometric Ornstein-Uhlenbeck processes driven by L\'{e}vy motion and their finite and infinite superpositions. We…
For a given L\'{e}vy process $X=(X_t)_{t\in\mathbb{R}_+}$ and for fixed $s\in \mathbb{R}_{+}\cup\{\infty\}$ and $t\in\mathbb{R}_+$ we analyse the {\it future drawdown extremes} that are defined as follows: \begin{eqnarray*} \overline…
Several finite difference methods are proposed for the infinitesimal generator of 1D asymmetric $\alpha$-stable L\'{e}vy motions, based on the fact that the operator becomes a multiplier in the spectral space. These methods take the general…
We give necessary and sufficient conditions guaranteeing that the coupling for L\'evy processes (with non-degenerate jump part) is successful. Our method relies on explicit formulae for the transition semigroup of a compound Poisson process…
The pricing of options in exponential Levy models amounts to the computation of expectations of functionals of Levy processes. In many situations, Monte-Carlo methods are used. However, the simulation of a Levy process with infinite Levy…
In this paper, we compare several representative barrier-like conditions from the literature for infinite-horizon reach-avoid verification of stochastic discrete-time systems. Our comparison examines both their theoretical properties and…
In this paper we consider storage and inventory systems. Our aim is to apply and review main results of the fluctuation theory of stochastic processes in the context of storage and inventory modeling. We describe systems where the inflow is…
In this paper we prove the uniform boundary Harnack principle in general open sets for harmonic functions with respect to a large class of rotationally symmetric purely discontinuous L\'evy processes.
It is shown that the hyperbolic functions can be associated with selfdecomposable distributions (in short: SD probability distributions or L\'evy class L probability laws). Consequently, they admit associated background driving L\'evy…
Suppose that $\mathsf{S}$ is a closed set of the unit sphere $\mathbb{S}^{d-1} = \{x\in \mathbb{R}^d: |x| =1\}$ in dimension $d\geq2$, which has positive surface measure. We construct the law of absorption of an isotropic stable L\'evy…
This article deals with IDT processes, i.e. processes which are infinitely divisible with respect to time. Given an IDT process $(X_{t},\,t\geq0)$, there exists a unique (in law) L\'evy process $(L_{t}; t\geq0)$ which has the same…
We are exploring two archetypal noise induced escape scenarios: escape from a finite interval and from the positive half-line under the action of the mixture of L\'evy and Gaussian white noises in the overdamped regime, for the random…