Related papers: A note on refracted L\'evy processes without posit…
We develop a general construction for nonlinear L\'evy processes with given characteristics. More precisely, given a set $\Theta$ of L\'evy triplets, we construct a sublinear expectation on Skorohod space under which the canonical process…
In this article we derive formula for probability $\Prob(\sup_{t\leq T} (X(t)-ct)>u)$ where $X=\{X(t)\}$ is a spectrally positive L\'evy process and $c\in\RL$. As an example we investigate the inverse Gaussian L\'evy process.
The law of a positive infinitely divisible process with no drift is characterized by its L\'evy measure on the paths space. Based on recent results of the two authors, it is shown that even for simple examples of such processes, the…
We give necessary and sufficient conditions guaranteeing that the coupling for L\'evy processes (with non-degenerate jump part) is successful. Our method relies on explicit formulae for the transition semigroup of a compound Poisson process…
This article deals with adaptive nonparametric estimation for L\'evy processes observed at low frequency. For general linear functionals of the L\'evy measure, we construct kernel estimators, provide upper risk bounds and derive rates of…
We study the spectral expansion of the semigroup of a general stable process killed on the first exit from the positive half-line. Starting with the Wiener-Hopf factorization we obtain the q-resolvent density for the killed process, from…
We consider a spectrally negative branching L{\'e}vy process where the particles undergo dyadic branching and are killed when entering the negative half-plane. The purpose of this short note is to give conditions under which this process…
For $n$ equidistant observations of a L\'evy process at time distance $\Delta_n$ we consider the problem of testing hypotheses on the volatility, the jump measure and its Blumenthal-Getoor index in a non- or semiparametric manner.…
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…
The paper demonstrates that negative refractive index can be achieved via tuning the tunneling rate between a double quantum dots(QDs) system by applying a bias voltage, and a pulsed laser. As the bias voltage being changed, the refraction…
Suppose that Y(t) is a d-dimensional Levy symmetric process for which its Levy measure differs from the Levy measure of the isotropic alpha-stable process (0<alpha<2) by a finite signed measure. For a bounded Lipschitz set D we compare the…
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…
Getoor's conjecture that essentially all Levy processes satisfy (H) is a long-standing open problem in potential theory. In the beginning of the paper, we summarize the main results obtained so far for the problem. Then, we present two new…
In this article we get simple explicit formulas for $\Exp\sup_{s\leq t}X(s)$ where $X$ is a spectrally positive or negative L\'evy process with infinite variation. As a consequence we derive a generalization of the well-known formula for…
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…
General stochastic equations with jumps are studied. We provide criteria for the uniqueness and existence of strong solutions under non-Lipschitz conditions of Yamada-Watanabe type. The results are applied to stochastic equations driven by…
We prove asymptotic behaviour of transition density for a large class of spectrally one-sided L\'evy processes of unbounded variation satisfying mild condition imposed on the second derivative of the Laplace exponent, or equivalently, on…
By using absolutely continuous lower bounds of the L\'evy measure, explicit gradient estimates are derived for the semigroup of the corresponding L\'evy process with a linear drift. A derivative formula is presented for the conditional…
In this paper we solve the exit problems for (reflected) spectrally negative L\'evy processes, which are exponentially killed with a killing intensity dependent on the present state of the process and analyze respective resolvents. All…
We provide a description of the excursion measure from a point for a spectrally negative L\'evy process. The description is based in two main ingredients. The first is building a spectrally negative L\'evy process conditioned to avoid zero…