Related papers: A semigroup approach to nonlinear L\'evy processes
We consider periodic Markov chains with absorption. Applying to iterates of this periodic Markov chain criteria for the exponential convergence of conditional distributions of aperiodic absorbed Markov chains, we obtain exponential…
Based on the convergence of their infinitesimal generators in the mixed topology, we provide a stability result for strongly continuous convex monotone semigroups on spaces of continuous functions. In contrast to previous results, we do not…
In our previous paper (ArXiv:1306.1492) we have proved that a representation of the infinitesimal generators $L$ for Levy processes $X_t$ can be written down in a convolution type form. For the case of non-summable Levy measures we…
Let $(P_t)$ be the transition semigroup of the Markov family $(X^x(t))$ defined by SDE $$ d X= b(X) dt + d Z, \qquad X(0)=x, $$ where $Z=\left(Z_1, \ldots, Z_d\right)^*$ is a system of independent real-valued L\'evy processes. Using the…
Upper estimates of densities of convolution semigroups of probability measures are given under explicit assumptions on the corresponding L\'evy measure and the L\'evy--Khinchin exponent.
The important application of semi-static hedging in financial markets naturally leads to the notion of quasi self-dual processes. The focus of our study is to give new characterizations of quasi self-duality for exponential L\'evy processes…
We derive a general scheme to construct infinitely many probabilistic counterparts for solutions to nonlinear PDEs by recasting the latter as different nonlinear Fokker--Planck equations and by constructing, for each of these equations, a…
A survey of the probabilistic approaches to quantum dynamical semigroups with unbounded generators is given. An emphasis is made upon recent advances in the structural theory of covariant Markovian master equations. The relations with the…
Multi-type Markov point processes offer a flexible framework for modelling complex multi-type point patterns where it is pertinent to capture both interactions between points as well as large scale trends depending on observed covariates.…
This paper aims at semi-parametrically estimating the input process to a L\'evy-driven queue by sampling the workload process at Poisson times. We construct a method-of-moments based estimator for the L\'evy process' characteristic…
The class of Levy processes for which overshoots are almost surely constant quantities is precisely characterized.
A L\'evy processes resurrected in the positive half-line is a Markov process obtained by removing successively all jumps that make it negative. A natural question, given this construction, is whether the resulting process is absorbed at 0…
The theory of monotonicity and duality is developed for general one-dimensional Feller processes. Moreover it is shown that local monotonicity conditions (conditions on the L\'evy kernel) are sufficient to prove the well-posedness of the…
L\'evy processes on bialgebras are families of infinitely divisible representations. We classify the generators of L\'evy processes on the compact forms of the quantum algebras $U_q(g)$, where $g$ is a simple Lie algebra. Then we show how…
We consider isotropic L\'evy processes on a compact Riemannian manifold, obtained from an $\mathbb{R}^d$-valued L\'evy process through rolling without slipping. We prove that the Feller semigroups associated with these processes extend to…
As in the classical case of L\'evy processes on a group, L\'evy processes on a Voiculescu dual group are constructed from conditionally positive functionals. It is essential for this construction that Schoenberg correspondence holds for…
We study a porous medium-type equation whose pressure is given by a nonlocal L\'{e}vy operator associated to a symmetric jump L\'{e}vy kernel. The class of nonlocal operators under consideration appears as a generalization of the classical…
We define a new type of self-similarity for one-parameter families of stochastic processes, which applies to a number of important families of processes that are not self-similar in the conventional sense. This includes a new class of…
In this paper we present an $L^p$-theory for the stochastic partial differential equations (SPDEs in abbreciation) driven by L\'e{}vy processes. Existence and uniqueness of solutions in Sobolev spaces are obtained. The coefficients of SPDEs…
Up to now, the nonparametric analysis of multidimensional continuous-time Markov processes has focussed strongly on specific model choices, mostly related to symmetry of the semigroup. While this approach allows to study the performance of…