Related papers: Fluctuation theory for level-dependent L\'evy risk…
For spectrally negative L\'evy processes, we prove several fluctuation results involving a general draw-down time, which is a downward exit time from a dynamic level that depends on the running maximum of the process. In particular, we find…
We prove that the stochastic differential equation $$ Y_{s,t}(x) = Y_{s,s}(x) + \int_0^{t-s} f(Y_{s,s+u}(x)) dX_{s+u}, Y_{s,s}(x)=x\in\R^d. $$ driven by a L\'evy process whose paths have finite p-variation almost surely for some $p\in[1,2)$…
Scaling properties of time series are usually studied in terms of the scaling laws of empirical moments, which are the time average estimates of moments of the dynamic variable. Nonlinearities in the scaling function of empirical moments…
The scaling properties of oil price fluctuations are described as a non-stationary stochastic process realized by a time series of finite length. An original model is used to extract the scaling exponent of the fluctuation functions within…
We develop a scale-invariant truncated L\'evy (STL) process to describe physical systems characterized by correlated stochastic variables. The STL process exhibits L\'evy stability for the probability density, and hence shows scaling…
The purpose of this review article is to give an up to date account of the theory and application of scale functions for spectrally negative Levy processes. Our review also includes the first extensive overview of how to work numerically…
In this paper we solve the exit problems for (reflected) spectrally negative L\'evy processes, which are exponentially killed with a killing intensity dependent on the present state of the process and analyze respective resolvents. All…
A spectrally positive additive L\'evy field is a multidimensional field obtained as the sum $\mathbf{X}_{\rm t}={\rm X}^{(1)}_{t_1}+{\rm X}^{(2)}_{t_2}+\dots+{\rm X}^{(d)}_{t_d}$, ${\rm t}=(t_1,\dots,t_d)\in\mathbb{R}_+^d$, where ${\rm…
There is an abundance of useful fluctuation identities for one-sided L\'evy processes observed up to an independent exponentially distributed time horizon. We show that all the fundamental formulas generalize to time horizons having matrix…
We investigate front propagation in a reacting particle system in which particles perform scale-free random walks known as Levy flights. The system is described by a fractional generalization of a reaction-diffusion equation. We focus on…
We consider the regularity of sample paths of Volterra-L\'{e}vy processes. These processes are defined as stochastic integrals $$ M(t)=\int_{0}^{t}F(t,r)dX(r), \ \ t \in \mathds{R}_{+}, $$ where $X$ is a L\'{e}vy process and $F$ is a…
We present results of the numerical simulations and the scaling characteristics of one-dimensional random fluctuations with heavy tailed probability distribution functions. Assuming that the distribution function of the random fluctuations…
The scale functions were defined for spectrally negative L\'evy processes and other strong Markov processes with no positive jumps, and have been used to characterize their behavior. In particular, I defined the scale functions for standard…
The fluctuation-dissipation relation is calculated for a class of stochastic models obeying a master equation. The transition rates are assumed to obey detailed balance also in the presence of a field. It is shown that in general the linear…
As well known, all functionals of a Markov process may be expressed in terms of the generator operator, modulo some analytic work. In the case of spectrally negative Markov processes however, it is conjectured that everything can be…
We study various solution behaviors of scale equations which are recently proposed in \cite{Kim}. On the contrary to conventional mathematical tools, scale equations are capable to accommodate various behaviors at different scale levels…
In this paper we study general nonlinear stochastic differential equations, where the usual Brownian motion is replaced by a L\'evy process. We also suppose that the coefficient multiplying the increments of this process is merely Lipschitz…
We model the price of a stock via a Lang\'{e}vin equation with multi-dimensional fluctuations coupled in the price and in time. We generalize previous models in that we assume that the fluctuations conditioned on the time step are compound…
We study the nature of fluctuations in variety of price indices involving companies listed on the New York Stock Exchange. The fluctuations at multiple scales are extracted through the use of wavelets belonging to Daubechies basis. The fact…
We present a numerical scheme to calculate fluctuation identities for exponential L\'evy processes in the continuous monitoring case. This includes the Spitzer identities for touching a single upper or lower barrier, and the more difficult…