Related papers: Pseudo-differential operators and related additive…
We introduce a general theory on stationary approximations for locally stationary continuous-time processes. Based on the stationary approximation, we use $\theta$-weak dependence to establish laws of large numbers and central limit type…
We present a time change construction of affine processes with state-space $\mathbb{R}_+^m\times \mathbb{R}^n$. These processes were systematically studied in (Duffie, Filipovi\'c and Schachermayer, 2003) since they contain interesting…
In this article, the problem of semi-parametric inference on the parameters of a multidimensional L\'{e}vy process $L_t$ with independent components based on the low-frequency observations of the corresponding time-changed L\'{e}vy process…
A subdiffusion problem in which the diffusion term is related to a stable stochastic process is introduced. Linear models of these systems have been studied in a general way, but non-linear models require a more specific analysis. The model…
In this paper we study the asymptotic properties of the power variations of stochastic processes of the type X=Y+L, where L is an alpha-stable Levy process, and Y a perturbation which satisfies some mild Lipschitz continuity assumptions. We…
We extend the Ruzhansky-Turunen theory of pseudo differential operators on compact Lie groups into a tool that can be used to investigate group-valued Markov processes in the spirit of the work in Euclidean spaces of N.Jacob and…
In this paper we develop an $L_2$-theory for stochastic partial differential equations driven by L\'evy processes. The coefficients of the equations are random functions depending on time and space variables, and no smoothness assumption of…
In this paper approximation methods for infinite-dimensional Levy processes, also called (time-dependent) Levy fields, are introduced. For square integrable fields beyond the Gaussian case, it is no longer given that the one-dimensional…
In this paper, we prove the unique existence and investigate the $L^{p}$-regularity of solutions to stochastic partial differential equations in Hilbert spaces associated with pseudo-differential operators, driven by Hilbert space-valued…
Multistable processes, that is, processes which are, at each "time", tangent to a stable process, but where the index of stability varies along the path, have been recently introduced as models for phenomena where the intensity of jumps is…
We construct a Hunt process that can be described as an isotropic $\alpha$-stable L\'evy process reflected from the complement of a bounded open Lipschitz set. In fact, we introduce a new analytic method for concatenating Markov processes.…
Distributional properties -including Laplace transforms- of integrals of Markov processes received a lot of attention in the literature. In this paper, we complete existing results in several ways. First, we provide the analytical solution…
We investigate the properties of multifractal products of geometric Gaussian processes with possible long-range dependence and geometric Ornstein-Uhlenbeck processes driven by L\'{e}vy motion and their finite and infinite superpositions. We…
We solve a time-dependent linear SPDE with additive Levy noise in the mild and weak sense. Existence of a generalized invariant measure for the associated transition semigroup is established and the generator is characterized on the…
A simple pseudo-Hamiltonian formulation is proposed for the linear inhomogeneous systems of ODEs. In contrast to the usual Hamiltonian mechanics, our approach is based on the use of non-stationary Poisson brackets, i.e. corresponding…
Recently, various models have been developed, including the fractional Brownian motion (fBm), to analyse the stochastic properties of geodetic time series, together with the extraction of geophysical signals. The noise spectrum of these…
We consider a stochastic delay differential equation driven by a general Levy process. Both, the drift and the noise term may depend on the past, but only the drift term is assumed to be linear. We show that the segment process is…
A time inhomogeneous generalized Mehler semigroup on a real separable Hilbert space ${\mathds{H}}$ is defined through $$ p_{s,t}f(x)=\int_{\mathds{H}} f(U(t,s)x+y)\,\mu_{t,s}(dy), \quad t\geq s, \ x\in{\mathds{H}} $$ for every bounded…
We consider the problem of constructing Lyapunov functions for linear differential equations with delays. For such systems it is known that exponential stability implies the existence of a positive Lyapunov function which is quadratic on…
The paper deals with homogenization of Levy-type operators with rapidly oscillating coefficients. We consider cases of periodic and random statistically homogeneous micro-structures and show that in the limit we obtain a Levy-operator. In…