Related papers: An Inverse Problem for Infinitely Divisible Moving…
Let $X$ be a $d$-dimensional L\'evy process with L\'evy triplet $(\Sigma,\nu,\alpha)$ and $d\geq 2$. Given the low frequency observations $(X_t)_{t=1,\ldots,n}$, the dependence structure of the jumps of $X$ is estimated. The L\'evy measure…
Donsker-type functional limit theorems are proved for empirical processes arising from discretely sampled increments of a univariate L\'evy process. In the asymptotic regime the sampling frequencies increase to infinity and the limiting…
This paper develops bootstrap methods to construct uniform confidence bands for nonparametric spectral estimation of L\'{e}vy densities under high-frequency observations. We assume that we observe $n$ discrete observations at frequency…
We investigate the dynamic impact of heterogeneous environments on superdiffusive random walks known as L\'evy flights. We devote particular attention to the relative weight of source and target locations on the rates for spatial…
In this article, we first review the connection between L\'evy processes and infinitely divisible random variables, and the classification of infinitely divisible distributions. Using this connection and the L\'evy-Khinchine representation…
In this paper we consider the inverse electromagnetic scattering for a cavity surrounded by an inhomogeneous medium in three dimensions. The measurements are scattered wave fields measured on some surface inside the cavity, where such…
We investigate a L\'evy-Walk alternating between velocities $\pm v_0$ with opposite sign. The sojourn time probability distribution at large times is a power law lacking its mean or second moment. The first case corresponds to a ballistic…
We consider sampling strategies for a class of multivariate bandlimited functions $f$ that have a spectrum consisting of disjoint frequency bands. Taking advantage of the special spectral structure, we provide formulas relating $f$ to the…
We study invariant measures for random countable (finite or infinite) conformal iterated function systems (IFS) with arbitrary overlaps. We do not assume any type of separation condition. We prove, under a mild assumption of finite entropy,…
We consider the solution to a stochastic differential equation with a drift function which depends smoothly on some real parameter $\lambda$, and admitting a unique invariant measure for any value of $\lambda$ around $\lambda$ = 0. Our aim…
Based on the theory of independently scattered random measures, we introduce a natural generalisation of Gaussian space-time white noise to a Levy-type setting, which we call Levy-valued random measures. We determine the subclass of…
We consider iterated function systems on the interval with random perturbation. Let $Y_\epsilon$ be uniformly distributed in $[1- \epsilon, 1 + \epsilon]$ and let $f_i \in C^{1+\alpha}$ be contractions with fixpoints $a_i$. We consider the…
In this paper, we study the problem of sampling from distributions of the form p(x) \propto e^{-\beta f(x)} for some function f whose values and gradients we can query. This mode of access to f is natural in the scenarios in which such…
In the context of regressing a response $Y$ on a predictor $X$, we consider estimating the local modes of the distribution of $Y$ given $X=x$ when $X$ is prone to measurement error. We propose two nonparametric estimation methods, with one…
In this article, we introduce Mittag-Leffler L\'evy process and provide two alternative representations of this process. First, in terms of Laplace transform of the marginal densities and next as a subordinated stochastic process. Both…
Our goal is to estimate the characteristic exponent of the input to a L\'evy-driven storage system from a sample of equispaced workload observations. The estimator relies on an approximate moment equation associated with the…
We propose the use of indirect inference estimation to conduct inference in complex locally stationary models. We develop a local indirect inference algorithm and establish the asymptotic properties of the proposed estimator. Due to the…
The stochastic motion in a nonhomogeneous medium with traps is studied and diffusion properties of that system are discussed. The particle is subjected to a stochastic stimulation obeying a general L\'evy stable statistics and experiences…
We study the autocovariance functions of moving average random fields over the integer lattice $\mathbb{Z}^d$ from an algebraic perspective. These autocovariances are parametrized polynomially by the moving average coefficients, hence…
We present a practical framework to prove, in a simple way, two-terms asymptotic expansions for Fourier integrals $$ {\mathcal I}(t) = \int_{\mathbb R}({\rm e}^{it\phi(x)}-1) {\rm d} \mu(x) $$ where $\mu$ is a probability measure on…