Related papers: Permutation Invariant Functionals of L\'evy Proces…
We investigate densities of vaguely continuous convolution semigroups of probability measures on $\mathbb{R}^d$. We expose that many typical conditions on the characteristic exponent repeatedly used in the literature of the subject are…
We prove existence of boundary limits of ratios of positive harmonic functions for a wide class of Markov processes with jumps and irregular domains, in the context of general metric measure spaces. As a corollary, we prove uniqueness of…
In this paper we show that a non-local operator of certain type extends to the generator of a strong Markov process, admitting the transition probability density. For this transition probability density we construct the intrinsic upper and…
We establish a novel characterisation of the law of the convex minorant of any L\'evy process. Our self-contained elementary proof is based on the analysis of piecewise linear convex functions and requires only very basic properties of…
In this paper we study set-valued Volterra-type stochastic integrals driven by L\'{e}vy processes. Upon extending the classical definitions of set-valued stochastic integral functionals to convoluted integrals with square-integrable…
Exponential functionals of L\'evy processes appear as stationary distributions of generalized Ornstein-Uhlenbeck (GOU) processes. In this paper we obtain the infinitesimal generator of the GOU process and show that it is a Feller process.…
Let $X_{\alpha}=\{X_{\alpha}(t),t\in T\}$, $\alpha>0$, be an $\alpha$-permanental process with kernel $u(s,t)$. We show that $X^{1/2}_{\alpha}$ is a subgaussian process with respect to the metric $\sigma (s,t)=…
In this article, we introduce Mittag-Leffler L\'evy process and provide two alternative representations of this process. First, in terms of Laplace transform of the marginal densities and next as a subordinated stochastic process. Both…
We characterize the condition $(\Omega)$ for smooth kernels of partial differential operators in terms of the existence of shifted fundamental solutions satisfying certain properties. The conditions $(P\Omega)$ and…
We consider a class of L\'evy-type processes on which spectral analysis technics can be made to produce optimal results, in particular for the decay rate of their survival probability and for the spectral gap of their ground state…
Sets of orthogonal martingales are importants because they can be used as stochastic integrators in a kind of chaotic representation property, see [20]. In this paper, we revisited the problem studied by W. Schoutens in [21], investigating…
Scale functions play a central role in the fluctuation theory of spectrally negative L\'evy processes and often appear in the context of martingale relations. These relations are often complicated to establish requiring excursion theory in…
L\'evy processes are widely used in financial mathematics to model return data. Price processes are then defined as a corresponding geometric L\'evy process, implying the fact that returns are independent. In this paper we propose an…
Let $F$ be a number field, let $\mathbb{A}_F$ be its ring of adeles, and let $g_1,g_2,h_1,h_2 \in \mathrm{GL}_2(\mathbb{A}_F)$. Previously the author provided an absolutely convergent geometric expression for the four variable kernel…
The density-matrix and Heisenberg formulations of quantum mechanics follow--for unitary evolution--directy from the Schr"odinger equation. Nevertheless, the symmetries of the corresponding evolution operator, the Liouvillian L=i[.,H], need…
In this article we show that a finite dimensional stochastic differential equation driven by a L\'evy process can be formulated as a stochastic partial differential equation. We prove the existence and uniqueness of strong solutions of such…
What is the analogue of L\'evy processes for random surfaces? Motivated by scaling limits of random planar maps in random geometry, we introduce and study L\'evy looptrees and L\'evy maps. They are defined using excursions of general L\'evy…
Several stochastic processes related to transient L\'evy processes with potential densities $u(x,y)=u(y-x)$, that need not be symmetric nor bounded on the diagonal, are defined and studied. They are real valued processes on a space of…
The classical Airy function has been generalised by Kontsevich to a function of a matrix argument, which is an integral over the space of (skew) hermitian matrices of a unitary-invariant exponential kernel. In this paper, the Kontsevich…
We study hypercyclicity, Devaney chaos, topological mixing properties and strong mixing in the measure-theoretic sense for operators on topological vector spaces with invariant sets. More precisely, our purpose is to establish links between…