Related papers: A direct approach to the stable distributions
This paper provides a general framework for Stein's density method for multivariate continuous distributions. The approach associates to any probability density function a canonical operator and Stein class, as well as an infinite…
The main aim of this note is to provide characterization theorems concerning real derivations. Among others the following implication will be verified: Assume that $\xi\colon \mathbb{R}\to \mathbb{R}$ is a given differentiable function and…
We suppose that a L\'evy process is observed at discrete time points. A rather general construction of minimum-distance estimators is shown to give consistent estimators of the L\'evy-Khinchine characteristics as the number of observations…
The paper develops new methods of non-parametric estimation a compound Poisson distribution. Such a problem arise, in particular, in the inference of a Levy process recorded at equidistant time intervals. Our key estimator is based on…
In this paper we will study integrability of distributions whose primitives are left regulated functions and locally or globally integrable in the Henstock--Kurzweil, Lebesgue or Riemann sense. Corresponding spaces of distributions and…
In linear stability analysis of field quantities described by partial differential equations, the well-established classical theory is all but impossible to apply to concrete problems in its entirety even for uniform backgrounds when the…
An exact discretization method is being developed for solving linear systems of ordinary fractional-derivative differential equations with constant matrix coefficients (LSOFDDECMC). It is shown that the obtained linear discrete system in…
This paper is concerned with solutions to a one dimensional linear diffusion equation and their relation to some problems in stochastic control theory. A stochastic variational formula is obtained for the logarithm of the solution to the…
A class of probability distributions is characterized via equalities in law between two order statistics shifted by independent exponential variables. An explicit formula for the quintile function of the identified family of distributions…
The functional flow equations for the Legendre effective action, with respect to changes in a smooth cutoff, are approximated by a derivative expansion; no other approximation is made. This results in a set of coupled non-linear…
We prove stability results for nonlinear diffusion equations of the porous medium and fast diffusion types with respect to the nonlinearity power $m$: solutions with fixed data converge in a suitable sense to the solution of the limit…
Due to the existence of multiple stationary distributions, we study the stability and instability of a stationary distribution for distribution dependent stochastic differential equations. This note is devoted to the instability of a…
Fractional calculus allows one to generalize the linear, one-dimensional, diffusion equation by replacing either the first time derivative or the second space derivative by a derivative of fractional order. The fundamental solutions of…
The family of multivariate skew-normal distributions has many interesting properties. It is shown here that these hold for a general class of skew-elliptical distributions. For this class, several stochastic representations are established…
The method of Lyapunov functions is one of the most effective ones for the investigation of stability of dynamical systems, in particular, of stochastic differential systems. The main purpose of the paper is the analysis of the stability of…
We give some explicit calculations for stable distributions and convergence to them, mainly based on less explicit results in Feller (1971). The main purpose is to provide ourselves with easy reference to explicit formulas and examples.…
Nonlinear conservation laws driven by L\'evy processes have solutions which, in the case of supercritical nonlinearities, have an asymptotic behavior dictated by the solutions of the linearized equations. Thus the explicit representation of…
We consider a nonlinear stochastic differential equation driven by an $\alpha$-stable L\'{e}vy process ($1<\alpha<2$). We first obtain some regularity results for the probability density of its invariant measure via establishing the a…
Linear chains of quantum scatterers are studied in the process of lengthening, which is treated and analysed as a discrete dynamical system defined over the manifold of scattering matrices. Elementary properties of such dynamics relate the…
The invariance for the equation of fast diffusion in the 2D coordinate space has been proved, and its reduction to the 1D (with respect to the spatial variable) analog is demonstrated. On the basis of these results, new exact…