Related papers: Functional Laws for Trimmed Levy Processes
We extend the idea of tempering stable Levy processes to tempering more general classes of Levy processes. We show that the original process can be decomposed into the sum of the tempered process and an independent point process of large…
We introduce a simple but powerful technique to study processes driven by two or more reinforcement mechanisms in competition. We apply our method to two types of models: to non conservative zero range processes on finite graphs, and to…
We investigate piecewise deterministic Markov processes (PDMP), where the deterministic dynamics follows a scalar conservation law and random jumps in the system are characterized by changes in the flux function. We show under which…
After defining non-Gaussian L\'evy processes for two-sided time, stochastic differential equations with such L\'evy processes are considered. Solution paths for these stochastic differential equations have countable jump discontinuities in…
We study the asymptotic behaviour of a properly normalized time-changed multidimensional Wiener process; the time change is given by an additive functional of the Wiener process itself. At the level of generators, the time change means that…
We prove a strong law of large numbers for directed last passage times in an independent but inhomogeneous exponential environment. Rates for the exponential random variables are obtained from a discretisation of a speed function that may…
Dynamic decisions are pivotal to economic policy making. We show how existing evidence from randomized control trials can be utilized to guide personalized decisions in challenging dynamic environments with budget and capacity constraints.…
It is common to encounter situations where one must solve a sequence of similar computational problems. Running a standard algorithm with worst-case runtime guarantees on each instance will fail to take advantage of valuable structure…
Motion planning under differential constraints is a classic problem in robotics. To date, the state of the art is represented by sampling-based techniques, with the Rapidly-exploring Random Tree algorithm as a leading example. Yet, the…
Limit theorems for the normalized laws with respect to two kinds of weight functionals are studied for any symmetric stable L\'evy process of index $ 1 < \alpha \le 2 $. The first kind is a function of the local time at the origin, and the…
A continuous-time particle system on the real line satisfying the branching property and an exponential integrability condition is called a branching L\'evy process, and its law is characterized by a triplet $(\sigma^2,a,\Lambda)$. We…
In this paper we use the decreasing diagrams technique to show that a left-linear term rewrite system R is confluent if all its critical pairs are joinable and the critical pair steps are relatively terminating with respect to R. We further…
We suppose that a L\'evy process is observed at discrete time points. Starting from an asymptotically minimax family of estimators for the continuous part of the L\'evy Khinchine characteristics, i.e., the covariance, we derive a…
In this paper, we address rare-event simulation for heavy-tailed L\'evy processes with infinite activities. The presence of infinite activities poses a critical challenge, making it impractical to simulate or store the precise sample path…
We consider the problem of unconstrained minimization of a smooth objective function in $\R^n$ in a setting where only function evaluations are possible. While importance sampling is one of the most popular techniques used by machine…
We consider the problem of finding a stopping time that minimises the $L^1$-distance to $\theta$, the time at which a L\'evy process attains its ultimate supremum. This problem was studied in [12] for a Brownian motion with drift and a…
We address diffusion processes in a bounded domain, while focusing on somewhat unexplored affinities between the presence of absorbing and/or inaccessible boundaries. For the Brownian motion (L\'{e}vy-stable cases are briefly mentioned)…
How long a stochastic process survives before leaving a domain depends not only on its intrinsic dynamics but also on how it is observed. Classical first-passage theory assumes continuous monitoring with absorbing boundaries…
When the limiting compensator of a sequence of martingales is continuous, we obtain a weak convergence theorem for the martingales; the limiting process can be written as a Brownian motion evaluated at the compensator and we find sufficient…
This work provides a novel convergence analysis for stochastic optimization in terms of stopping times, addressing the practical reality that algorithms are often terminated adaptively based on observed progress. Unlike prior approaches,…