Related papers: Yaglom limit for stable processes in cones

Iksanov and Pilipenko (2023) defined a skew stable L\'{e}vy process as a scaling limit of a sequence of perturbed at $0$ symmetric stable L\'{e}vy processes (continuous-time processes). Here, we provide a simpler construction of the skew…

We identify the critical exponent of integrability of the first exit time of rotation invariant stable L\'evy process from parabola--shaped region.

We study the density of the supremum of a strictly stable L\'evy process. As was proved recently in F. Hubalek and A. Kuznetsov "A convergent series representation for the density of the supremum of a stable process" (Elect. Comm. in…

We establish two results about local times of spectrally positive stable processes. The first is a general approximation result, uniform in space and on compact time intervals, in a model where each jump of the stable process may be marked…

We consider continuous-state branching processes (CB processes) which become extinct almost surely. First, we tackle the problem of describing the stationary measures on $(0,+\infty)$ for such CB processes. We give a representation of the…

In this article, we quantify the functional convergence of the rescaled random walk with heavy tails to a stable process.This generalizes the Generalized Central Limit Theorem for stable random variables infinite dimension. We show that…

In this paper we study the mean of the first exit time from a bounded interval of various L\'evy processes. We establish sharp two-sided estimates of the mean for L\'evy processes under certain condition on their characteristic exponents.…

The limiting behavior of Toeplitz type quadratic forms of stationary processes has received much attention through decades, particularly due to its importance in statistical estimation of the spectrum. In the present paper we study such…

Convergence is proved for solutions of Dirichlet problems in regions with many small excluded sets (holes), as the holes become smaller and more numerous. The problem is formulated in the context of Markov processes associated with general…

We present a unified approach to a couple of central limit theorems for radial random walks on hyperbolic spaces and time-homogeneous Markov chains on the positive half line whose transition probabilities are defined in terms of the Jacobi…

In contrast to their seemingly simple and shared structure of independence and stationarity, L\'evy processes exhibit a wide variety of behaviors, from the self-similar Wiener process to piecewise-constant compound Poisson processes.…

We consider the relativistic Vlasov-Maxwell system in three dimensions and study the limiting asymptotic behavior as $t \to \infty$ of solutions launched by small, compactly supported initial data. In particular, we prove that such…

We describe the solution of an optimal stopping problem for a stable L\'evy process killed at state-dependent rate, which can be seen as a model for bankruptcy. The killing rate is chosen in such a way that the killed process remains…

Consider a subcritical branching Markov chain. Let $Z_n$ denote the counting measure of particles of generation $n$. Under some conditions, we give a probabilistic proof for the existence of the Yaglom limit of $(Z_n)_{n\in\mathbb{N}}$ by…

We show that the second term in the asymptotic expansion as t approaches 0 of the trace of the Dirichlet heat kernel on Lipschitz domains for unimodal L\'evy processes, satisfying some weak scaling conditions, is given by the surface area…

We consider a one-dimensional symmetric Levy process that has local time. In the first part, we construct a self-adjoint extension of the generator of the process so that the constructed operator corresponds to the generator with the delta…

For a spectrally positive strictly stable process with index in (1,2), the paper obtains i) the density of the time when the process makes first exit from an interval by hitting the interval's lower end point before jumping over its upper…

Let $X=\{X(t),t\in R_+\}$ be a real-valued symmetric L\'{e}vy process with continuous local times $\{L^x_t,(t,x)\in R_+\times R\}$ and characteristic function $Ee^{i\lambda X(t)}=e^{-t\psi(\lambda)}$. Let…

We consider a process $Z$ on the real line composed from a L\'evy process and its exponentially tilted version killed with arbitrary rates and give an expression for the joint law of $Z$ seen from its supremum, the supremum $\overline Z$…

In this paper, we study the asymptotic behavior, as the time $t$ goes to zero, of the trace of the semigroup of a killed relativistic $\alpha$-stable process in bounded $C^{1,1}$ open sets and bounded Lipschitz open sets. More precisely, we…