Related papers: Time Change Equations for L\'evy Type Processes
A popular method to compute first-passage probabilities in continuous-time Markov chains is by numerically inverting their Laplace transforms. Past decades, the scientific computing community has developed excellent numerical methods for…
In this contribution, the transitivity property of commutative first-order linear time-varying systems is investigated with and without initial conditions. It is proven that transitivity property of first-order systems holds with and…
In this paper, we consider the initial value problem for the Einstein-Vlasov-Scalar field equations in temporal gauge, where the initial data are prescribed on two characteristic smooth intersecting hypersurfaces. From a suitable choice of…
The evolution of squeezed coherent states (CSs) of motion for trapped ions is investigated by applying the time dependent variational principle (TDVP) for the Schr\"{o}dinger equation. The method is applied in case of Paul and combined…
For one-dimensional symmetric L\'{e}vy processes, which hit every point with positive probability, we give sharp bounds for the tail function of the first hitting time of B which is either a single point or an interval. The estimates are…
For a large class of systems of o.d.e.'s which have first integrals, the method of arrays yields the following results: i) The first integrals $I$ can be found by solving systems of linear equations. ii) How the first integral $I$ responds…
Levy processes, which have stationary independent increments, are ideal for modelling the various types of noise that can arise in communication channels. If a Levy process admits exponential moments, then there exists a parametric family…
Explicit coupling property and gradient estimates are investigated for the linear evolution equations on Hilbert spaces driven by an additive cylindrical L\'evy process. The results are efficiently applied to establish the exponential…
In this paper we consider the existence of weakly c\`adl\`ag versions of a solution to a linear equation in a Hilbert space $H$, driven by a Levy process taking values in a Hilbert space $U$. In particular we are interested in diagonal type…
Conditional independence and graphical models are crucial concepts for sparsity and statistical modeling in higher dimensions. For L\'evy processes, a widely applied class of stochastic processes, these notions have not been studied. By the…
We develop a stochastic volatility framework for modeling multiple currencies based on CBI-time-changed L\'evy processes. The proposed framework captures the typical risk characteristics of FX markets and is coherent with the symmetries of…
This brief manuscript provides an introduction to L\'evy processes and their applications in finance as the random process that drives asset models. Characteristic functions and random variable generators of popular L\'evy processes are…
We study the exact asymptotics for the distribution of the first time $\tau_x$ a L\'evy process $X_t$ crosses a negative level $-x$. We prove that $\mathbf P(\tau_x>t)\sim V(x)\mathbf P(X_t\ge 0)/t$ as $t\to\infty$ for a certain function…
We consider a class of L\'evy-type processes derived via a Doob-transform from L\'evy processes conditioned by a control function called potential. These processes have position-dependent and generally unbounded components, with stationary…
In this paper, we study a multivariate version of the generalized counting process (GCP) and discuss its various time-changed variants. The time is changed using random processes such as the stable subordinator, inverse stable subordinator,…
Our paper illustrates how the theory of Lie systems allows recovering known results and provide new examples of piecewise deterministic processes with phase-type jumps for which the corresponding first-time passage problems may be solved…
This paper studies a time-changed stochastic control problem, where the underlying stochastic process is a L\'evy noise time-changed by an inverse subordinator. We establish a maximum principle theory for the time-changed stochastic control…
In this paper, we study the L\'evy process time-changed by independent L\'evy subordinators, namely, the incomplete gamma subordinator, the $\epsilon$-jumps incomplete gamma subordinator and tempered incomplete gamma subordinator. We derive…
The so-called unified method expresses the solution of an initial-boundary value problem (IBVP) for an evolution PDE in the finite interval in terms of an integral in the complex Fourier (spectral) plane. Simple IBVP, which will be referred…
A class of evolution variational inequalities (EVIs), which comprises ordinary differential equations (ODEs) coupled with variational inequalities (VIs) associated with time-varying set-valued mappings, is proposed in this paper. We first…