Related papers: Inversion, duality and Doob $h$-transforms for sel…

This paper addresses the question of predicting when a positive self-similar Markov process X attains its pathwise global supremum or infimum before hitting zero for the first time (if it does at all). This problem has been studied in…

This work concerns the Ornstein-Uhlenbeck type process associated to a positive self-similar Markov process $(X(t))_{t\geq 0}$ which drifts to $\infty$, namely $U(t):= {\rm e}^{-t}X({\rm e}^t-1)$. We point out that $U$ is always a…

We establish integral tests and laws of the iterated logarithm for the upper envelope of the future infimum of positive self-similar Markov processes and for increasing self-similar Markov processes at 0 and infinity. Our proofs are based…

A Markov Additive Process is a bi-variate Markov process $(\xi,J)=\big((\xi_t,J_t),t\geq0\big)$ which should be thought of as a multi-type L\'evy process: the second component $J$ is a Markov chain on a finite space $\{1,\ldots,K\}$, and…

This article develops a general framework for Laplace duality between positive Markov processes in which the one-dimensional Laplace transform of one process can be represented through that of another. We show that a process admits a…

The classical result due tof Williams states that a Brownian motion with positive drift $\mu$ and issued from the origin is equal in law to a Brownian motion with unit negative drift, $-\mu$, run until it hits a negative threshold, whose…

In this paper we consider a discrete scale invariant (DSI) process $\{X(t), t\in {\bf R^+}\}$ with scale $l>1$. We consider to have some fix number of observations in every scale, say $T$, and to get our samples at discrete points…

For a series of Markov processes we prove stochastic duality relations with duality functions given by orthogonal polynomials. This means that expectations with respect to the original process (which evolves the variable of the orthogonal…

We establish a new connection between the class of Nevanlinna-Pick functions and the one of the exponents associated to spectrally negative L\'evy processes. As a consequence, we compute the characteristics related to some hyperbolic…

Here we propose a different perspective of the deep factorisation in Kyprianou (2015) based on determining potentials. Indeed, we factorise the inverse of the MAP-exponent associated to a stable process via the Lamperti-Kiu transform. Here…

We establish integral tests and laws of the iterated logarithm at 0 and at $+\infty$, for the upper envelope of positive self-similar Markov processes. Our arguments are based on the Lamperti representation, time reversal arguments and on…

We consider several integrable systems from a standpoint of the SL(2,R) invariant gauge theory. In the Drinfeld-Sokorov gauge, we get a one parameter family of nonlinear equations from zero curvature conditions. For each value of the…

We prove a complete class theorem that characterizes \emph{all} stationary time reversible Markov processes whose finite dimensional marginal distributions (of all orders) are infinitely divisible. Aside from two degenerate cases (iid and…

This paper introduces a matrix analog of the Bessel processes, taking values in the closed set $E$ of real square matrices with nonnegative determinant. They are related to the well-known Wishart processes in a simple way: the latter are…

We consider additive functionals of stationary Markov processes and show that under Kipnis-Varadhan type conditions they converge in rough path topology to a Stratonovich Brownian motion, with a correction to the Levy area that can be…

Consider a system $X = ((x_\xi(t)), \xi \in \Omega_N)_{t \geq 0}$ of interacting Fleming-Viot diffusions with mutation and selection which is a strong Markov process with continuous paths and state space $(\CP(\I))^{\Omega_N}$, where $\I$…

We present a theorem which elucidates the connection between self-duality of Markov processes and representation theory of Lie algebras. In particular, we identify sufficient conditions such that the intertwining function between two…

We study general Markov additive processes when the state space of the modulator is a Polish space. Under some regularity assumptions, our main result is the characterization of the long-time behavior of the ordinate in terms of the…

In this note we re-visit the fundamental question of the strong law of large numbers and central limit theorem for processes in continuous time with conditional stationary and independent increments. For convenience we refer to them as…

We have shown recently that a Markov process conditioned on rare events involving time-integrated random variables can be described in the long-time limit by an effective Markov process, called the driven process, which is given…