Related papers: Path Decomposition of Spectrally Negative Levy Pro…
Consider a L\'evy process $Y(t)$ over an exponentially distributed time $T_\beta$ with mean $1/\beta$. We study the joint distribution of the running maximum $\bar{Y}(T_\beta)$ and the time epoch $G(T_\beta$) at which this maximum last…
In this work we introduce the concept of a sub-space decomposition, subject to a partition of the coordinates. Considering metrics determined by partial orders in the set of coordinates, the so called poset metrics, we show the existence of…
This paper investigates the initial-boundary value problem for weakly coupled systems of time-fractional subdiffusion equations with spatially and temporally varying coupling coefficients. By combining the energy method with the coercivity…
This work presents a novel surface decomposition method for the sensitivity analysis of first-passage dynamic reliability of linear systems subjected to Gaussian random excitations. The method decomposes the sensitivity of first-passage…
Detection of curvilinear structures in images has long been of interest. One of the most challenging aspects of this problem is inferring the graph representation of the curvilinear network. Most existing delineation approaches first…
In this paper, we derive the joint Laplace transforms of occupation times until its last passage times as well as its positions. Motivated by Baurdoux [2], the last times before an independent exponential variable are studied. By applying…
We consider a bivariate, possibly non-homogeneous, finite-state Markov chain $(X,U)=\{(X_t,U_t)\}_{t=1}^n$. We are interested in the marginal process $X$, which typically is not a Markov chain. The goal is to find a realization (path)…
Based on the concept of self-decomposability, we extend some recent multivariate L\'evy models built using multivariate subordination with the aim of capturing situations in which a sudden event in one market is propagated onto related…
In this paper we show that a path-wise solution to the following integral equation $$ Y_t = \int_0^t f(Y_t) dX_t \qquad Y_0=a \in \R^d $$ exists under the assumption that X_t is a L\'evy process of finite p-variation for some $p \geq1$ and…
Spectral theory for the transition semigroup of one-dimensional symmetric Levy process killed upon hitting the origin is studied. Under very mild assumptions, an integral-type formula for eigenfunctions is obtained, and eigenfunction…
Modern computer vision algorithms have brought significant advancement to 3D geometry reconstruction. However, illumination and material reconstruction remain less studied, with current approaches assuming very simplified models for…
A standardized phase retrieval algorithm is presented and applied to an industry-grade high-energy ultrashort pulsed laser to uncover its spatial phase distribution. We describe in detail how to modify the well-known algorithm in order to…
The purpose of this article is to introduce a new L\'evy process, termed Variance Gamma++ process, to model the dynamic of assets in illiquid markets. Such a process has the mathematical tractability of the Variance Gamma process and is…
Given a spectrally negative L\'evy process and independent Poisson observation times, we consider a periodic barrier strategy that pushes the process down to a certain level whenever it is above it. We also consider the versions with…
We investigate the branching structure coded by the excursion above zero of a spectrally positive Levy process. The main idea is to identify the level of the Levy excursion as the time and count the number of jumps upcrossing the level. By…
Tree-width and path-width are widely successful concepts. Many NP-hard problems have efficient solutions when restricted to graphs of bounded tree-width. Many efficient algorithms are based on a tree decomposition. Sometimes the more…
In this paper we study the joint distributions of the telegraph process and its maximum conditioned on the number of changes of direction and the initial velocity. We prove that in the case of positive starting velocity, a form of the…
This paper considers discretization of the L\'evy process appearing in the Lamperti representation of a strictly positive self-similar Markov process. Limit theorems for the resulting approximation are established under some regularity…
We study the vertex-decremental Single-Source Shortest Paths (SSSP) problem: given an undirected graph $G=(V,E)$ with lengths $\ell(e)\geq 1$ on its edges and a source vertex $s$, we need to support (approximate) shortest-path queries in…
Radio deployments and spectrum planning benefit from path loss predictions. Obstructions along a communications link are often considered implicitly or through derived metrics such as representative clutter height or total obstruction…