Related papers: Levy Processes and Quasi-Shuffle Algebras
The important application of semi-static hedging in financial markets naturally leads to the notion of quasi self-dual processes. The focus of our study is to give new characterizations of quasi self-duality for exponential L\'evy processes…
We construct an efficient integrator for stochastic differential systems driven by Levy processes. An efficient integrator is a strong approximation that is more accurate than the corresponding stochastic Taylor approximation, to all orders…
We construct a family of self-similar Markov martingales with given marginal distributions. This construction uses the self-similarity and Markov property of a reference process to produce a family of Markov processes that possess the same…
In this article we consider the Levy processes and the corresponding semigroup. We represent the generator of this semigroup in a convolution form. Using the obtained convolution form and the theory of integral equations we investigate the…
This chapter is divided into two parts. The first is largely expository and builds on Karandikar's axiomatisation of It{\^o} calculus for matrix-valued semimartin-gales. Its aim is to unfold in detail the algebraic structures implied for…
We establish some properties of quantum quasi-shuffle algebras. They include the necessary and sufficient condition for the construction of the quantum quasi-shuffle product, the universal property, and the commutativity condition. As an…
Volterra processes appear in several applications ranging from turbulence to energy finance where they are used in the modelling of e.g. temperatures and wind and the related financial derivatives. Volterra processes are in general…
Random walk on the chambers of hyperplanes arrangements is used to define a family of card shuffling measures $H_{W,x}$ for a finite Coxeter group W and real $x \neq 0$. By algebraic group theory, there is a map from the semisimple orbits…
The adjoint action of a finite group of Lie type on its Lie algebra is studied. A simple formula is conjectured for the number of split semisimple orbits of a given genus. This conjecture is proved for type A, and partial results are…
Our main result is the martingale representations for Markov additive processes where the modulator is a Levy process. These processes have three parts: the modulator, the jumps of the ordinate triggered by the modulator, and the…
We study almost symmetric numerical semigroups and semigroup rings. We describe a characteristic property of the minimal free resolution of the semigroup ring of an almost symmetric numerical semigroup. For almost symmetric semigroups…
Using the concept of mixable shuffles, we formulate explicitly the quantum quasi-shuffle product. We also provide a desirable description of the subalgebra generated by the set of primitive elements of the quantum quasi-shuffle bialgebra. A…
We exhibit conditions under which the flow of marginal distributions of a discontinuous semimartingale $\xi$ can be matched by a Markov process, whose infinitesimal generator is expressed in terms of the local characteristics of $\xi$. Our…
In this paper, we deal with a class of reflected backward stochastic differential equations associated to the subdifferential operator of a lower semi-continuous convex function driven by Teugels martingales associated with L\'{e}vy…
We introduce families of quasi-rectifiable vector fields and study their geometric and algebraic aspects. Then, we analyse their applications to systems of partial differential equations. Our results explain, in a simpler manner, previous…
This work analyses types of group actions on families of $t$-dependent vector fields of a particular class, the hereby called quasi-Lie families. We devise methods to obtain the defined here quasi-Lie invariants, namely a kind of functions…
In this paper we investigate the properties of the free Sheffer systems, which are certain families of martingale polynomials with respect to the free Levy processes. First, we classify such families that consist of orthogonal polynomials;…
An explicit procedure to construct a family of martingales generated by a process with independent increments is presented. The main tools are the polynomials that give the relationship between the moments and cumulants, and a set of…
Given an initial family of sets, we may take unions, intersections and complements of the sets contained in this family in order to form a new collection of sets; our construction process is done recursively until we obtain the last family.…
Many features of classical Lie theory generalize to the broader context of algebras over Hopf operads. However, this idea remains largely to be developed systematically. Quasi-shuffle algebras provide for example an interesting illustration…