Related papers: The Levy-Ito Decomposition theorem
The explicit form for the characteristic function of a stable distribution on the line is derived analytically by solving the associated functional equation and applying theory of regular variation, without appeal to the general…
The L\'evy-stable distribution is the attractor of distributions which hold power laws with infinite variance. This distribution has been used in a variety of research areas, for example in economics it is used to model financial market…
We analyze the extension of the well known relation between Brownian motion and Schroedinger equation to the family of Levy processes. We consider a Levy-Schroedinger equation where the usual kinetic energy operator - the Laplacian - is…
The classical notion of L\'evy process is generalized to one that takes as its values probabilities on a first order model equipped with a commutative semigroup. This is achieved by applying a convolution product on definable probabilities…
In this paper, we derive comparison results for terminal values of $d$-dimensional special semimartingales and also for finite-dimensional distributions of multivariate L\'{e}vy processes. The comparison is with respect to nondecreasing,…
In this article the relation between the tail behaviours of a free regular infinitely divisible (positively supported) probability measure and its L\'evy measure is studied. An important example of such a measure is the compound free…
We characterize the second order subexponentiality of an infinitely divisible distribution on the real line under an exponential moment assumption. We investigate the asymptotic behaviour of the difference between the tails of an infinitely…
This paper provides a framework for investigations in fluctuation theory for L\'evy processes with matrix-exponential jumps. We present a matrix form of the components of the infinitely divisible factorization. Using this representation we…
The paper develops multiplicative compensation for complex-valued semimartingales and studies some of its consequences. It is shown that the stochastic exponential of any complex-valued semimartingale with independent increments becomes a…
Let $\{\Gamma_t, \, t\ge 0\}$ be the Gamma subordinator. Using a moment identification due to Bertoin-Yor (2002), we observe that for every $t > 0$ and $\alpha\in (0,1)$ the random variable $\Gamma_t^{-\alpha}$ is distributed as the…
In 1964 R.Gangolli published a L\'{e}vy-Khintchine type formula which characterised $K$ bi-invariant infinitely divisible probability measures on a symmetric space $G/K$. His main tool was Harish-Chandra's spherical functions which he used…
The study of distributed order calculus usually concerns about fractional derivatives of the form $\int_0^1 \partial^\alpha u \, m(d\alpha)$ for some measure $m$, eventually a probability measure. In this paper an approach based on L\'evy…
We show that a conditional characteristic function of generalized L\'evy stochastic areas can be viewed as a product a selfdecomposable distribution (i.e., L\'evy class L distribution) and its background driving characteristic function.…
In this paper, we derive the bi-free analogue of the L\'{e}vy-Hin\v{c}in formula for compactly supported planar probability measures which are infinitely divisible with respect to the additive bi-free convolution introduced by Voiculescu.…
We derive some estimates for the integral modulus of continuity of probability densities of infinitely divisible distributions. The paper is splitted into two parts. The first part deals with general infinitely divisible distributions. The…
This study focuses on statistical inference for the class of quasi-infinitely divisible (QID) distributions, which was recently introduced by Lindner, Pan and Sato (2018). The paper presents a Fourier approach, based on the analogue of the…
We provide the increasing eigenfunctions associated to spectrally negative self-similar Feller semigroups, which have been introduced by Lamperti. These eigenfunctions are expressed in terms of a new family of power series which includes,…
The paper considers the integration theory for $G$-L\'evy processes with finite activity. We introduce the It\^o-L\'evy integrals, give the It\^o formula for them and establish SDE's, BSDE's and decoupled FBSDE's driven by $G$-L\'evy…
Let $V$ be a projective limit, with respect to the renormalized norm mappings, of the groups of principal units corresponding to a strictly increasing sequence of finite separable totally and tamely ramified Galois extensions of a local…
We propose isomorphism type identities for nonlinear functionals of general infinitely divisible processes. Such identities can be viewed as an analogy of the Cameron-Martin formula for Poissonian infinitely divisible processes but with…