Related papers: The extended hypergeometric class of L\'evy proces…
Exponential L\'evy processes can be used to model the evolution of various financial variables such as FX rates, stock prices, etc. Considerable efforts have been devoted to pricing derivatives written on underliers governed by such…
This note is devoted to the study of Hamiltonian formalism of modified F(R) Horava-Lifshitz theories of gravity that were proposed recently in arXiv:1001.4102[hep-th]. We also study Hamiltonian formulation of the healthy extended…
It is shown that many of the classical generalized isoperimetric inequalities for the Laplacian when viewed in terms of Brownian motion extend to a wide class of Levy processes. The results are derived from the multiple integral…
We study Fourier and Laplace transforms for Fourier hyperfunctions with values in a complex locally convex Hausdorff space. Since any hyperfunction with values in a wide class of locally convex Hausdorff spaces can be extended to a Fourier…
In this article, we propose a way to consider processes indexed by a collection $\mathcal{A}$ of subsets of a general set $\mathcal{T}$. A large class of vector spaces, manifolds and continuous $\mathbb{R}$-trees are particular cases.…
Layered stable (multivariate) distributions and processes are defined and studied. A layered stable process combines stable trends of two different indices, one of them possibly Gaussian. More precisely, in short time, it is close to a…
Rational approximations of generalized hypergeometric functions ${}_pF_q$ of type $(n+k,k)$ are constructed by the Drummond and factorial Levin-type sequence transformations. We derive recurrence relations for these rational approximations…
We obtain series expansions of the $q$-scale functions of arbitrary spectrally negative L\'evy processes, including processes with infinite jump activity, and use these to derive various new examples of explicit $q$-scale functions.…
We prove a Hardy-Stein type identity for the semigroups of symmetric, pure-jump L\'evy processes. Combined with the Burkholder-Gundy inequalities, it gives the $L^p$ two-way boundedness, for $1<p<\infty$, of the corresponding…
In this paper we first provide several conditional limit theorems for L\'evy processes with negative drift and regularly varying tail. Then we apply them to study the asymptotic behavior of expectations of some exponential functionals of…
A fluctuation theory and, in particular, a theory of scale functions is developed for upwards skip-free L\'evy chains, i.e. for right-continuous random walks embedded into continuous time as compound Poisson processes. This is done by…
We obtain an intertwining relation between some Riemann-Liouville operators of order a in (1,2) connecting through a certain multiplicative identity in law the one-dimensional marginals of reflected completely asymmetric a-stable L\'evy…
Markov-modulated L\'evy processes with two different regimes of restarting are studied. These regimes correspond to the completely renewed process and to the process of Markov modulation, accompanied by jumps. We give explicit expressions…
We study the Fourier expansion of the distribution density of a Levy process in a compact Lie group based on the Peter-Weyl theorem.
Uniform asymptotic expansions involving exponential and Airy functions are obtained for Laguerre polynomials $L_{n}^{(\alpha)}(x)$, as well as complementary confluent hypergeometric functions. The expansions are valid for $n$ large and…
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…
In our previous publications (IJTAF 2019, Math. Finance 2020), we introduced a general class of SINH-regular processes and demonstrated that efficient numerical methods for the evaluation of the Wiener-Hopf factors and various probability…
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…
We consider the problem of modelling restricted interactions between continuously-observed time series as given by a known static graph (or network) structure. For this purpose, we define a parametric multivariate Graph Ornstein-Uhlenbeck…
The purpose of this note is to describe, in terms of a power series, the distribution function of the exponential functional, taken at some independent exponential time, of a spectrally negative L\'evy process \xi with unbounded variation.…