Related papers: Fluctuation theory for level-dependent L\'evy risk…

We consider a class of assets whose risk-neutral pricing dynamics are described by an exponential L\'evy-type process subject to default. The class of processes we consider features locally-dependent drift, diffusion and default-intensity…

With the emergence of the Yang-Mills gradient flow technique there is renewed interest in the issue of scale setting in lattice gauge theory. Here I compare for the SU(3) Wilson gauge action non-perturbative scale functions of Edwards,…

We develop a new methodology for the fluctuation theory of continuous-time skip-free Markov chains, extending the recent work of Choi and Patie [5] for discrete-time skip-free Markov chains. As the main application we use it to derive a…

A nonlinear generalization of the Fluctuation-Dissipation Theorem (FDT) for the n-point Green functions and the amputated 1PI vertex functions at finite temperature is derived in the framework of the Closed Time Path formalism. We verify…

We extend the result of Nualart and Schoutens on chaotic decomposition of the $L^2$-space of a L\'evy process to the case of a generalized stochastic processes with independent values.

A comprehensive theory of interfacial fluctuation effects occurring at 2D wedge (corner) filling transitions in pure (thermal disorder) and impure (random bond-disorder) systems is presented. Scaling theory and the explicit results of…

The linear fractional stable motion generalizes two prominent classes of stochastic processes, namely stable L\'evy processes, and fractional Brownian motion. For this reason it may be regarded as a basic building block for continuous time…

When making the connection between the thermodynamics of irreversible processes and the theory of stochastic processes through the fluctuation-dissipation theorem, it is necessary to invoke a postulate of the Einstein-Boltzmann type. For…

Increasingly larger data sets of processes in space and time ask for statistical models and methods that can cope with such data. We show that the solution of a stochastic advection-diffusion partial differential equation provides a…

For systems close to equilibrium, the relaxation properties of measurable physical quantities are described by the linear response theory and the fluctuation-dissipation theorem (FDT). Accordingly, the response or the generalized…

We introduce and investigate the stochastic dynamics of the density of local extrema (minima and maxima) of non-equilibrium surface fluctuations. We give a number of exact, analytic results for interface fluctuations described by linear…

The probabilistic symbol is the right-hand side derivative of the characteristic functions corresponding to the one-dimensional marginals of a stochastic process. This object, as long as the derivative exists, provides crucial information…

We propose stochastic $N$-component synchronization models $(x_{1}(t),...,x_{N}(t))$, $x_{j}\in\mathbb{R}^{d}$, $t\in\mathbb{R}_{+}$, whose dynamics is described by Levy processes and synchronizing jumps. We prove that symmetric models…

The fluctuation-dissipation theorem is a central result in statistical mechanics and is usually formulated for systems described by diffusion processes. In this paper, we propose a generalization for a wider class of stochastic processes,…

We study the spatial statistics of velocity gradient volatility (i,e., the energy dissipation rate) in turbulent flow. We extend the Kolmogorov-Obukhov theory but also narrow its scope. The models are log normal, with verification from…

Self-similar processes are useful in modeling diverse phenomena that exhibit scaling properties. Operator scaling allows a different scale factor in each coordinate. This paper develops practical methods for modeling and simulating…

For a L\'evy process $\xi=(\xi_t)_{t\geq0}$ drifting to $-\infty$, we define the so-called exponential functional as follows \[{\rm{I}}_{\xi}=\int_0^{\infty}e^{\xi_t} dt.\] Under mild conditions on $\xi$, we show that the following…

Motivated by the construction of the It\^o stochastic integral, we consider a step function method to discretize and simulate volatility modulated L\'evy semistationary processes. Moreover, we assess the accuracy of the method with a…

These notes give a summary of techniques used in large deviation theory to study the fluctuations of time-additive quantities, called dynamical observables, defined in the context of Langevin-type equations, which model equilibrium and…

In this paper, based on the white noise analysis of square integrable pure-jump Levy process given by [1], we define the formal derivative of fractional Levy process defined by the square integrable pure-jump Levy process as the fractional…