Related papers: Further study on Hunt's hypothesis (H) for Levy pr…

In this paper, we consider transient subordinate Brownian motion X in R^d, d \geq 1, where the Laplace exponent \phi of the corresponding subordinator satisfies some mild conditions. The scaleinvariant Harnack inequality is proved for X. We…

The Helmholtz-Hodge decomposition (HHD) is applied to the construction of Lyapunov functions. It is shown that if a stability condition is satisfied, such a decomposition can be chosen so that its potential function is a Lyapunov function.…

A step reinforced random walk is a discrete time process with memory such that at each time step, with fixed probability $p \in (0,1)$, it repeats a previously performed step chosen uniformly at random while with complementary probability…

Motivated by classical considerations from risk theory, we investigate boundary crossing problems for refracted L\'evy processes. The latter is a L\'evy process whose dynamics change by subtracting off a fixed linear drift (of suitable…

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…

First, we present some results about the H\"older continuity of the sample paths of so called dilatively stable processes which are certain infinitely divisible processes having a more general scaling property than self-similarity. As a…

We consider a multivariate L\'evy process where the first coordinate is a L\'evy process with no negative jumps which is not a subordinator and the others are nondecreasing. We determine the Laplace-Stieltjes transform of the steady-state…

The asymptotic behavior of the implied volatility associated with a general call pricing function has been extensively studied in the last decade. The main topics discussed in this paper are Lee's moment formulas for the implied volatility,…

For a broad class of the Levy processes the new form (convolution type) of the infinitesimal generators is introduced. It leads to the new notions: a truncated generator, a quasi-potential. The probability of the Levy process remaining…

The {\em drawdown} process $Y$ of a completely asymmetric L\'{e}vy process $X$ is equal to $X$ reflected at its running supremum $\bar{X}$: $Y = \bar{X} - X$. In this paper we explicitly express in terms of the scale function and the…

We construct an integrable hierarchy in terms of vertex operators and Hirota Quadratic Equations (HQE shortly) and we show that the equivariant total descendant potential of $\C P^1$ satisfies the HQE. Our prove is based on the quantization…

In this paper we prove that, under certain conditions, a strong law of large number holds for a class of branching particle systems $X$ corresponding to the parameters $(Y,\beta,\psi)$, where $Y$ is a Hunt process and $\psi$ is the…

This paper considers a L\'evy-driven queue (i.e., a L\'evy process reflected at 0), and focuses on the distribution of $M(t)$, that is, the minimal value attained in an interval of length $t$ (where it is assumed that the queue is in…

We characterise the H\"older continuity of the convex minorant of most L\'evy processes. The proof is based on a novel connection between the path properties of the L\'evy process at zero and the boundedness of the set of $r$-slopes of the…

We give new proofs of certain equivalent conditions for the existence of generalized moments of a L\'evy process $(X_t)_{t\geq 0}$; in particular, the existence of a generalized $g$-moment is equivalent to the uniform integrability of…

We establish the comparison principle and the existence of solutions of the integro-differential equations with L{\'e}vy operators. The L{\'e}vy operators of our interest are infinitesmal generator of the jump processes which could be…

We recall four open problems concerning constructing high-order matrix-exponential approximations for the infimum of a spectrally negative Levy process (with applications to first-passage/ruin probabilities, the waiting time distribution in…

Let $X$ be an isotropic unimodal L\'{e}vy jump process on $\mathbb{R}^d$. We develop probabilistic methods which in many cases allow us to determine whether $X$ satisfies the elliptic Harnack inequality (EHI), by looking only at the jump…

Motivated by recent studies of record statistics in relation to strongly correlated time series, we consider explicitly the drawdown time of a Levy process, which is defined as the time since it last achieved its running maximum when…

We consider the exponential functional $A_{\infty}=\int_0^{\infty} e^{\xi_s} ds$ associated to a Levy process $(\xi_t)_{t \geq 0}$. We find the asymptotic behavior of the tail of this random variable, under some assumptions on the process…