Related papers: Hermitian Functional Representation of Free L\'evy…
In this paper, the authors study the matrix-valued harmonic functions and characterize them by the Poisson integral of functions in non-commutative BMO (bounded mean oscillation) spaces. This provides a very satisfactory non-commutative…
In contrast to their seemingly simple and shared structure of independence and stationarity, L\'evy processes exhibit a wide variety of behaviors, from the self-similar Wiener process to piecewise-constant compound Poisson processes.…
We explicitly construct and study an isometry between the spaces of square integrable functionals of an arbitrary Levy process and a vector-valued Gaussian white noise. In particular, we obtain explicit formulas for this isometry at the…
As well known, all functionals of a Markov process may be expressed in terms of the generator operator, modulo some analytic work. In the case of spectrally negative Markov processes however, it is conjectured that everything can be…
Let ${\mathcal A}$ be the ${\mathcal L}^q-$functional of a stable L\'evy process starting from one and killed when crossing zero. We observe that ${\mathcal A}$ can be represented as the independent quotient of two infinite products of…
We show that the fermionic matrix model can be realized by $W$-representation. We construct the Virasoro constraints with higher algebraic structures, where the constraint operators obey the Witt algebra and null 3-algebra. The remarkable…
We elaborate further on the metric representation that is obtained by transferring the time-dependence from a Hermitian Hamiltonian to the metric operator in a related non-Hermitian system. We provide further insight into the procedure on…
We consider a Poisson process $\Phi$ on a general phase space. The expectation of a function of $\Phi$ can be considered as a functional of the intensity measure $\lambda$ of $\Phi$. Extending earlier results of Molchanov and Zuyev [Math.…
We consider some special classes of L\'evy processes with no gaussian component whose L\'evy measure is of the type $\pi(dx)=e^{\gamma x}\nu(e^x-1) dx$, where $\nu$ is the density of the stable L\'evy measure and $\gamma$ is a positive…
The purpose of this paper is to construct the law of a L\'evy process conditioned to avoid zero, under mild technicals conditions, two of them being that the point zero is regular for itself and the L\'evy process is not a compound Poisson…
We define a L\'evy process on a smooth manifold $M$ with a connection as a projection of a solution of a Marcus stochastic differential equation on a holonomy bundle of $M$, driven by a holonomy-invariant L\'evy process on a Euclidean…
Given discrete time observations over a growing time interval, we consider a nonparametric Bayesian approach to estimation of the L\'evy density of a L\'evy process belonging to a flexible class of infinite activity subordinators. Posterior…
We consider functionals of long-range dependent Gaussian sequences with infinite variance and obtain nonstandard limit theorems. When the long-range dependence is strong enough, the limit is a Hermite process, while for weaker long-range…
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…
We consider a general framework for integrable hierarchies in Lax form and derive certain universal equations from which `functional representations' of particular hierarchies (like KP, discrete KP, mKP, AKNS), i.e. formulations in terms of…
Noncommutative rational functions, i.e., elements of the universal skew field of fractions of a free algebra, can be defined through evaluations of noncommutative rational expressions on tuples of matrices. This interpretation extends their…
Kuznetsov et al. (2011) and Kuznetsov and Pardo (2013) introduced the family of Hypergeometric L\'evy processes. They appear naturally in the study of fluctuations of stable processes when one analyses stable processes through the theory of…
Distribution functions for random variables that depend on a parameter are computed asymptotically for ensembles of positive Hermitian matrices. The inverse Fourier transform of the distribution is shown to be a Fredholm determinant of a…
We prove a multidimensional Poisson limit theorem in free probability, and define joint free Poisson distributions in a non-commutative probability space. We define (compound) free Poisson process explicitly, similar to the definitions of…
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…