Related papers: Bernstein-gamma functions and exponential function…

In recent years there have been many proposals as flexible alternatives to Gaussian based continuous time stochastic volatility models. A great deal of these models employ positive L\'evy processes. Among these are the attractive…

A beta-negative binomial (BNB) process is proposed, leading to a beta-gamma-Poisson process, which may be viewed as a "multi-scoop" generalization of the beta-Bernoulli process. The BNB process is augmented into a beta-gamma-gamma-Poisson…

The Mellin transform and several Dirichlet series related with the Riemann zeta function are used to deduce some identities similar to the classical M\"untz formula [4]. These formulas are derived in the critical strip and in the half-plane…

In this paper we study the exponential functionals of the processes $X$ with independent increments , namely $$I_t= \int _0^t\exp(-X_s)ds, _,\,\, t\geq 0,$$ and also $$I_{\infty}= \int _0^{\infty}\exp(-X_s)ds.$$ When $X$ is a…

We prove that certain functions involving ratios of Gamma functions and the Psi-function belong to generalized Bernstein classes and new properties of generalized Bernstein functions are given.

We investigate the asymptotic behavior of parametric Bayes estimators under a broad class of loss functions that extend beyond the classical translation-invariant setting. To this end, we develop a unified theoretical framework for loss…

We derive explicit formulas for the Mellin transform and the distribution of the exponential functional for Levy processes with rational Laplace exponent. This extends recent results by Cai and Kou on the processes with hyper-exponential…

Normalized random measures with independent increments represent a large class of Bayesian nonaprametric priors and are widely used in the Bayesian nonparametric framework. In this paper, we provide the posterior consistency analysis for…

We establish a new integral equation for the probability density of the exponential functional of a L\'evy process and provide a three-term (Wiener-Hopf type) factorisation of its law. We explain how these results complement the techniques…

We establish a general semiparametric Bernstein-von Mises theorem for Bayesian nonparametric priors based on continuous observations in a periodic reversible multidimensional diffusion model. We consider a wide range of functionals…

Kinetic models provide highly accurate descriptions of plasma waves but involve complex integrals that are computationally expensive to solve. To facilitate a fluid-like treatment of the system, we propose rational approximations for both…

Using the Wiener-Hopf factorization, it is shown that it is possible to bound the path of an arbitrary Levy process above and below by the paths of two random walks. These walks have the same step distribution, but different random starting…

This paper describes how one can use the well-known Bayesian prior to posterior analysis of the Dirichlet process, and less known results for the gamma process, to address the formidable problem of assessing the distribution of linear…

In this paper, we focus on the explicit expression of an extended version of Riemann zeta function. We use two different methods, Mellin inversion formula and Cauchy's residue theorem, to calculate a Mellin-Barnes type integral of the…

We provide the increasing eigenfunctions associated to spectrally negative self-similar Feller semigroups, which have been introduced by Lamperti. These eigenfunctions are expressed in terms of a new family of power series which includes,…

For many functions of matrices $f(A)$, it is known that their entries exhibit a rapid -- often exponential or even superexponential -- decay away from the sparsity pattern of the matrix $A$. In this paper we specifically focus on the class…

We first introduce and derive some basic properties of a two-parameters family of one-sided Levy processes. Their Laplace exponents are given in terms of the Pochhammer symbol. This family includes, in a limit case, the family of Brownian…

A functional representation of free L\'evy processes is established via an ensemble of unitarily invariant Hermitian matrix-valued L\'evy processes. This is accomplished by proving functional asymptotics of their empirical spectral…

We define the generalized-Euler-constant function $\gamma(z)=\sum_{n=1}^{\infty} z^{n-1} (\frac{1}{n}-\log \frac{n+1}{n})$ when $|z|\leq 1$. Its values include both Euler's constant $\gamma=\gamma(1)$ and the "alternating Euler constant"…

We demonstrate how the asymptotics for large $|z|$ of the generalised Bessel function \[{}_0\Psi_1(z)=\sum_{n=0}^\infty\frac{z^n}{\Gamma(an+b) n!},\] where $a>-1$ and $b$ is any number (real or complex), may be obtained by exploiting the…