Related papers: Limit theorems for free L\'evy processes
Takeda-Yano determined the limit of L\'{e}vy processes conditioned to avoid zero via various random clocks in terms of Doob's $h$-transform, where the limit processes may differ according to the choice of random clocks. The purpose of this…
The Levy Walk is the process with continuous sample paths which arises from consecutive linear motions of i.i.d. lengths with i.i.d. directions. Assuming speed 1 and motions in the domain of beta-stable attraction, we prove functional limit…
We establish multidimensional analogues of one-dimensional stable limit theorems due to H\"ausler and Luschgy (2015) for so called explosive processes. As special cases we present multidimensional stable limit theorems involving…
In this paper, a very useful lemma (in two versions) is proved: it simplifies notably the essential step to establish a Lindeberg central limit theorem for dependent processes. Then, applying this lemma to weakly dependent processes…
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…
In this paper we study the convergence in distribution and the local limit theorem for the partial sums of linear random fields with i.i.d. innovations that have infinite second moment and belong to the domain of attraction of a stable law…
In this paper, we prove convergence in distribution of Langevin processes in the overdamped asymptotics. The proof relies on the classical perturbed test function (or corrector) method, which is used both to show tightness in path space,…
Last passage times arise in a number of areas of applied probability, including risk theory and degradation models. Such times are obviously not stopping times since they depend on the whole path of the underlying process. We consider the…
We propose an alternative approach for solving a number of well-studied optimal stopping problems for L\'evy processes. Instead of the usual method of guess-and-verify based on martingale properties of the value function, we suggest a more…
This article considers multivariate linear processes whose components are either short- or long-range dependent. The functional central limit theorems for the sample mean and the sample autocovariances for these processes are investigated,…
We completely determine the free infinite divisibility for the Boolean stable law which is parametrized by a stability index $\alpha$ and an asymmetry coefficient $\rho$. We prove that the Boolean stable law is freely infinitely divisible…
We prove functional limits theorems for the occupation time process of a system of particles moving independently in $R^d$ according to a symmetric $\alpha$-stable L\'evy process, and starting off from an inhomogeneous Poisson point measure…
We study the small-time asymptotics of sample paths of L\'evy processes and L\'evy-type processes. Namely, we investigate under which conditions the limit $$\limsup_{t \to 0} \frac{1}{f(t)} |X_t-X_0|$$ is finite resp.\ infinite with…
In this paper, we establish the existence of moments and moment estimates for L\'evy-type processes. We discuss whether the existence of moments is a time dependent distributional property, give sufficient conditions for the existence of…
We consider a pair of coupled queues driven by independent spectrally-positive Levy processes. With respect to the bi-variate workload process this framework includes both the coupled processor model and the two-server fluid network with…
It is shown that the hyperbolic functions can be associated with selfdecomposable distributions (in short: SD probability distributions or L\'evy class L probability laws). Consequently, they admit associated background driving L\'evy…
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…
We analyze the time--dependent solutions of the pseudo--differential L\'evy--Schr\"odinger wave equation in the free case, and we compare them with the associated L\'evy processes. We list the principal laws used to describe the time…
We consider stochastic systems involving general -- non-Gaussian and asymmetric -- stable processes. The random quantities, either a stochastic force or a waiting time in a random walk process, explicitly depend on the position. A…
In this paper, we obtain some uniform laws of large numbers and functional central limit theorems for sequential empirical measure processes indexed by classes of product functions satisfying appropriate Vapnik-Chervonenkis properties.