Related papers: Rogers functions and fluctuation theory

Due to their flexibility, Fox-$H$ functions are widely studied and applied to many research topics, such as astrophysics, mechanical statistic, probability, etc. Well-known special cases of Fox-$H$ functions, such as Mittag-Leffler and…

A family of recently investigated Bernstein functions is revisited and those functions for which the derivatives are logarithmically completely monotonic are identified. This leads to the definition of a class of Bernstein functions, which…

In this article we define and investigate statistical operators and an entropy functional for Bernstein stochastic processes associated with hierarchies of forward-backward systems of decoupled deterministic linear parabolic partial…

We establish left and right canonical factorizations of Hilbert-space operator-valued functions G(z) that are analytic on neighborhoods of the complex unit circle and the origin 0, and that have the form G(z)=I+F(z) with F(z) taking…

In this note, we extend the results about the fluctuations of the matrix entries of regular functions of Wigner random matrices obtained in arXiv:1103.3731 [math.PR] to Wigner matrices with non-i.i.d. entries provided certain Lindeberg type…

Let $\xi$ be a L\'{e}vy process and $I_\xi(t):=\int_{0}^te^{-\xi_s}\mathrm{d} s$, $t\geq 0,$ be the exponential functional of L\'{e}vy processes on deterministic horizon. Given that $\lim_{t\to \infty}\xi_t=-\infty$ we evaluate for general…

Let $\alpha:[0,1]\to [0,1]$ be a measurable function. It was proved by P. Marchal \cite{Mar15} that the function $$ \phi^{(\alpha)}(\lambda):=\exp\left[ \int_0^1\frac{\lambda-1}{1+(\lambda-1)x}\,\alpha(x)\,d x \right],\quad \lambda>0 $$ is…

We characterize of the $q$-Bernstein functions in terms of $q$-Laplace transform. Moreover, we present several results of $q$-completely monotonic, $q$-log completely monotonic and $q$-Bernstein functions.

There is an abundance of useful fluctuation identities for one-sided L\'evy processes observed up to an independent exponentially distributed time horizon. We show that all the fundamental formulas generalize to time horizons having matrix…

In this paper we obtain a Wiener-Hopf type factorization for a real-valued arithmetic Brownian motion with time-dependent drift and volatility. To the best of our knowledge, this paper is the very first step towards realizing the objective…

We introduce and analyse infinite dimensional Wishart processes taking values in the cone $S^+_1(H)$ of positive self-adjoint trace class operators on a separable real Hilbert space $H$. Our main result gives necessary and sufficient…

Matrix elements of irreducible representations of the Lorentz group are calculated on the basis of complex angular momentum. It is shown that Laplace-Beltrami operators, defined in this basis, give rise to Fuchsian differential equations.…

A complex function $f(z)$ is called a Herglotz-Nevanlinna function if it is holomorphic in the upper half-plane ${\mathbb C}_+$ and maps ${\mathbb C}_+$ into itself. By a maximum principle a Herglotz-Nevanlinna function which takes a real…

For the problem of Burgers turbulence with random gaussian forcing a similarity functional solution of Hopf equation is presented and compared with scaling arguments and replica Bethe-anzatz treatments. The corresponding field theory is…

Wiener-Hopf plus Hankel operators $W(a)+H(b):L^p(\mathbb{R}^+)\to L^p(\mathbb{R}^+)$ with generating functions $a$ and $b$ from a subalgebra of $L^\infty(\mathbb{R})$ containing almost periodic functions and Fourier images of…

This article is devoted to derivation of the Laplace transforms of the derivatives with respect to parameters of certain special functions, namely, the Mittag-Leffler type, Wright and Le Roy type functions. These formulas show…

This note provides a factorization of a L\'evy pocess over a phase-type horizon $\tau$ given the phase at the supremum, thereby extending the Wiener-Hopf factorization for $\tau$ exponential. One of the factors is defined using time…

We consider functions satisfying the subcritical Beurling's condition, viz., $$\int_{\R^n}\int_{\R^n} |f(x)| |\hat{f}(y)| e^{a |x \cdot y|} \, dx \, dy < \infty$$ for some $ 0 < a < 1.$ We show that such functions are entire vectors for the…

We establish an explicit expression for the conditional Laplace transform of the integrated Volterra Wishart process in terms of a certain resolvent of the covariance function. The core ingredient is the derivation of the conditional…

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…