Related papers: Permutation Invariant Functionals of L\'evy Proces…
In [16], under mild conditions, a Wiener-Hopf type factorization is derived for the exponential functional of proper L\'evy processes. In this paper, we extend this factorization by relaxing a finite moment assumption as well as by…
In this work, we investigate the inverse problem of determining the kernel functions that best describe the mechanical behavior of a complex medium modeled by a general nonlocal viscoelastic wave equation. To this end, we minimize a…
We study the eigenfunctions of the classical Liouville operator and investigate the conditions they must obey to be separable as a product state. We point out that the conditions for separability are equivalent to requirements of…
The Gamma kernel is a projection kernel of the form (A(x)B(y)-B(x)A(y))/(x-y), where A and B are certain functions on the one-dimensional lattice expressed through Euler's Gamma function. The Gamma kernel depends on two continuous…
We study systems of {\sigma}-algebras ordered by refinement and introduce the notion of an endogenous probability measure, invariant under admissible refinement transformations. We prove existence and structural properties of such measures…
In this thesis new objects to the existing set of invariants of Lie algebras are added. These invariant characteristics are capable of describing the nilpotent parametric continuum of Lie algebras. The properties of these invariants, in…
In this paper we construct the fundamental solution to some integro-differential equation, as well as the intrinsic upper and lower estimates for this solution. As an application of constructed estimates we state a criterion when a given…
Stochastic processes are shown to emerge from the time evolution of complex quantum systems. Using parametric, banded random matrix ensembles to describe a quantum chaotic environment, we show that the dynamical evolution of a particle…
By using the existing sharp estimates of density function for rotationally invariant symmetric $\alpha$-stable L\'{e}vy processes and rotationally invariant symmetric truncated $\alpha$-stable L\'{e}vy processes, we obtain that Harnack…
We study invariant measures for random countable (finite or infinite) conformal iterated function systems (IFS) with arbitrary overlaps. We do not assume any type of separation condition. We prove, under a mild assumption of finite entropy,…
We construct the meromorphic functions invariant under the action of the sense-preserving wallpaper groups on the complex plane. We discuss possible generalisa-tions of this to the general wallpaper groups. This provides the answer to a…
We consider a L\'evy driven continuous time moving average process $X$ sampled at random times which follow a renewal structure independent of $X$. Asymptotic normality of the sample mean, the sample autocovariance, and the sample…
We develop a stochastic integration theory for predictable integrands with respect to a L\'evy basis. Our approach is based on decoupling inequalities for tangent sequences and reduces the construction of the stochastic integral essentially…
The challenge to fruitfully merge state-of-the-art techniques from mathematical finance and numerical analysis has inspired researchers to develop fast deterministic option pricing methods. As a result, highly efficient algorithms to…
In this paper, we investigate the ergodicity in total variation of the process $X_t$ related to some integro-differential operator with unbounded coefficients and describe the speed of convergence to the respective invariant measure. Some…
We characterize the support of the law of the exponential functional $\int_0^\infty e^{-\xi_{s-}} \, d\eta_s$ of two one-dimensional independent L\'evy processes $\xi$ and $\eta$. Further, we study the range of the mapping $\Phi_\xi$ for a…
Various characterizations for fractional Levy process to be of finite variation are obtained, one of which is in terms of the characteristic triplet of the driving Levy process, while others are in terms of differentiability properties of…
We study a family of Fredholm determinants associated to deformations of the sine kernel, parametrized by a weight function w. For a specific choice of w, this kernel describes bulk statistics of finite temperature free fermions. We…
We consider ensembles of random matrices, known as biorthogonal ensembles, whose eigenvalue probability density function can be written as a product of two determinants. These systems are closely related to multiple orthogonal functions. It…
We introduce a class of L\'{e}vy processes subject to specific regularity conditions, and consider their Feynman-Kac semigroups given under a Kato-class potential. Using new techniques, first we analyze the rate of decay of eigenfunctions…