Related papers: Bernstein-gamma functions and exponential function…
In this paper we introduce a ten-parameter family of L\'{e}vy processes for which we obtain Wiener-Hopf factors and distribution of the supremum process in semi-explicit form. This family allows an arbitrary behavior of small jumps and…
Extending earlier work by Rogers, Wiener-Hopf factorisation is studied for a class of functions closely related to Nevanlinna-Pick functions and complete Bernstein functions. The name 'Rogers functions' is proposed for this class. Under…
We obtain approximation results for general positive linear operators satisfying mild conditions, when acting on discontinuous functions and absolutely continuous functions having discontinuous derivatives. The upper bounds, given in terms…
We develop new representations for the Levy measures of the beta and gamma processes. These representations are manifested in terms of an infinite sum of well-behaved (proper) beta and gamma distributions. Further, we demonstrate how these…
This paper continues the research project launched in [Constr. Approx. (2025) https://doi.org/10.1007/s00365-023-09675-9] and aimed at studying time-inhomogeneous one-dimensional branching processes (mainly on a continuous but also on a…
The renormalization of MZV was until now carried out by algebraic means. We show that renormalization in general, of the multiple zeta functions in particular, is more than mere convention. We show that simple calculus methods allow us to…
We study the Wiener--Hopf factorization and the distribution of extrema for general stable processes. By connecting the Wiener--Hopf factors with a certain elliptic-like function we are able to obtain many explicit and general results, such…
In a previous paper we considered a positive function f, uniquely determined for s>0 by the requirements f(1)=1, log(1/f) is convex and the functional equation f(s)=psi(f(s+1)) with psi(s)=s-1/s. We prove that the meromorphic extension of f…
The Bernstein operator is known as a typical example of positive linear operators which uniformly approximates continuous functions on $[0, 1]$. In the present paper, we introduce a multidimensional extension of the Bernstein operator which…
We study nonparametric estimation of univariate cumulative distribution functions (CDFs) pertaining to data missing at random. The proposed estimators smooth the inverse probability weighted (IPW) empirical CDF with the Bernstein operator,…
We use the theory of Bernstein functions to analyze power law tail behavior with log-periodic perturbations which corresponds to self-similarity of the Bernstein functions. Such tail behavior appears in the context of semistable L\'evy…
The main aim of this paper is to provide a novel approach to deriving identities for the Bernstein polynomials using functional equations. We derive various functional equations and differential equations using generating functions.…
In this article we define and investigate statistical operators and an entropy functional for Bernstein stochastic processes associated with hierarchies of forward-backward systems of decoupled deterministic linear parabolic partial…
We develop potential theory including a Bernstein-Walsh type estimate for functions of the form $p(z)q(f(z))$ where $p,q$ are polynomials and $f$ is holomorphic. Such functions arise in the study of certain ensembles of probability measures…
In Kuznetsov et al. (2011) a new Monte Carlo simulation technique was introduced for a large family of Levy processes that is based on the Wiener-Hopf decomposition. We pursue this idea further by combining their technique with the recently…
In our previous publications (IJTAF 2019, Math. Finance 2020), we introduced a general class of SINH-regular processes and demonstrated that efficient numerical methods for the evaluation of the Wiener-Hopf factors and various probability…
Exponential functionals of L\'evy processes appear as stationary distributions of generalized Ornstein-Uhlenbeck (GOU) processes. In this paper we obtain the infinitesimal generator of the GOU process and show that it is a Feller process.…
Classical (or ``global'') Bernstein theory establishes sharp control on entire functions of exponential type that are bounded and real-valued on the real axis. We localize some of this theory to rectangular regions $\{ x+iy: x \in I, 0 \leq…
We study the Wiener-Hopf factorization for L\'evy processes $X_t$ with completely monotone jumps. Extending previous results of L.C.G. Rogers, we prove that the space-time Wiener-Hopf factors are complete Bernstein functions of both the…
We study the distribution of the exponential functional $I(\xi,\eta)=\int_0^{\infty} \exp(\xi_{t-}) \d \eta_t$, where $\xi$ and $\eta$ are independent L\'evy processes. In the general setting using the theories of Markov processes and…