Related papers: A semigroup approach to nonlinear L\'evy processes
We investigate the relation of the semigroup probability density of an infinite activity L\'{e}vy process to the corresponding L\'{e}vy density. For subordinators, we provide three methods to compute the former from the latter. The first…
Explicit coupling property and gradient estimates are investigated for the linear evolution equations on Hilbert spaces driven by an additive cylindrical L\'evy process. The results are efficiently applied to establish the exponential…
We describe basic motivations behind quantum or noncommutative probability, introduce quantum L\'evy processes on compact quantum groups, and discuss several aspects of the study of the latter in the example of quantum permutation groups.…
We define a L\'evy process on a smooth manifold $M$ with a connection as a projection of a solution of a Marcus stochastic differential equation on a holonomy bundle of $M$, driven by a holonomy-invariant L\'evy process on a Euclidean…
This paper studies Liouville properties for viscosity sub- and supersolutions of fully nonlinear degenerate elliptic PDEs, under the main assumption that the operator has a family of generalized subunit vector fields that satisfy the…
An extension of the conditional expectations (those under a given subalgebra of events and not the simple ones under a single event) from the classical to the quantum case is presented. In the classical case, the conditional expectations…
Estimation methods for the L\'{e}vy density of a L\'{e}vy process are developed under mild qualitative assumptions. A classical model selection approach made up of two steps is studied. The first step consists in the selection of a good…
L\'evy processes in the sense of Sch\"urmann on the Lie algebra of the Lorentz grouop are studied. It is known that only one of the irreducible unitary representations of the Lorentz group admits a non-trivial one-cocycle. A Sch\"urmann…
We study the stochastic differential equation $dX_t = A(X_{t-}) \, dZ_t$, $ X_0 = x$, where $Z_t = (Z_t^{(1)},\ldots,Z_t^{(d)})^T$ and $Z_t^{(1)}, \ldots, Z_t^{(d)}$ are independent one-dimensional L{\'e}vy processes with characteristic…
This paper investigates the Gaussian quasi-likelihood estimation of an exponentially ergodic multidimensional Markov process, which is expressed as a solution to a L\'{e}vy driven stochastic differential equation whose coefficients are…
In this paper, we present the testing of four hypotheses on two streams of observations that are driven by L\'evy processes. This is applicable for sequential decision making on the state of two-sensor systems. In one case, each sensor…
We show that stochastic processes with linear conditional expectations and quadratic conditional variances are Markov, and their transition probabilities are related to a three-parameter family of orthogonal polynomials which generalize the…
The strong convergence of the semi-implicit Euler-Maruyama (EM) method for stochastic differential equations with non-linear coefficients driven by a class of L\'evy processes is investigated. The dependence of the convergence order of the…
The Markov group conjecture, a long-standing open problem in the theory of Markov processes with countable state space, asserts that a strongly continuous Markov semigroup $T = (T_t)_{t \in [0,\infty)}$ on $\ell^1$ has bounded generator if…
We prove that weakly continuous solutions to martingale problems admit a canonical regular conditional probability distribution. This allows for the construction of time consistent convex dynamic procedures in a non dominated setting.…
It was recently proven that the correlation function of the stationary version of a reflected L\'evy process is nonnegative, nonincreasing and convex. In another branch of the literature it was established that the mean value of the…
A L\'evy process on a *-bialgebra is given by its generator, a conditionally positive hermitian linear functional vanishing at the unit element. A *-algebra homomorphism k from a *-bialgebra C to a *-bialgebra B with the property that k…
In this paper, we study an approximation scheme for L\'evy processes with drift in terms of a representation that is akin to the celebrated Mehler formula for L\'evy-Ornstein-Uhlenbeck processes. The approximation scheme is based on a…
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.…
We consider some special classes of L\'evy processes with no gaussian component whose L\'evy measure is of the type $\pi(dx)=e^{\gamma x}\nu(e^x-1) dx$, where $\nu$ is the density of the stable L\'evy measure and $\gamma$ is a positive…