Related papers: A factorization of a L\'evy process over a phase-t…
Motivated by entropic optimal transport, time reversal of diffusion processes is revisited. An integration by parts formula is derived for the carr\'e du champ of a Markov process in an abstract space. It leads to a time reversal formula…
Explicit solution of an infinite horizon optimal stopping problem for a Levy processes with a polynomial reward function is given, in terms of the overall supremum of the process, when the solution of the problem is one-sided. The results…
In this paper, we study the fractional Poisson process (FPP) time-changed by an independent L\'evy subordinator and the inverse of the L\'evy subordinator, which we call TCFPP-I and TCFPP-II, respectively. Various distributional properties…
This paper reviews the modern state of the Wiener--Hopf factorization method and its generalizations. The main constructive results for matrix Wiener--Hopf are presented, approximation methods are outlined and the main areas of applications…
The paper presents sufficient conditions of predictability for continuous time processes in deterministic setting. We found that processes with exponential decay on energy for higher frequencies are predictable in some weak sense on some…
We find an expression for the joint Laplace transform of the law of $(T_{[x,+\infty[},X_{T_{[x,+\infty[}})$ for a L\'evy process $X$, where $T_{[x,+\infty[}$ is the first hitting time of $[x,+\infty[$ by $X$. When $X$ is an $\alpha$-stable…
The Fourier transform is often used to connect the Lorentzian energy distribution for resonance scattering to the exponential time dependence for decaying states. However, to apply the Fourier transform, one has to bend the rules of…
We study the predictable representation property in the progressive enlargement F^\tau of a reference filtration F by a random time \tau. Our approach is based on the decomposition of any random time into two parts, one overlapping…
This paper introduces a multi-frequency factorization method for imaging a time-dependent source, specifically to recover its spatial support and the associated excitation instants. Using far-field data from two opposite directions, we…
We characterise the convergence of a certain class of discrete time Markov processes toward locally Feller processes in terms of convergence of associated operators. The theory of locally Feller processes is applied to L\'evy-type processes…
Generalizing Kyprianou--Loeffen's refracted L\'evy processes, we define a new refracted L\'evy process which is a Markov process whose positive and negative motions are L\'evy processes different from each other. To construct it we utilize…
We give conditions under which the tail probability of the supremum over unit interval of a Levy process with light tail is equivalent to the tail of the value of the process at the right endpoint.
Truncated Fourier, Gauss, Kummer and exponential sums can be used to factorize numbers: for a factor these sums equal unity in absolute value, whereas they nearly vanish for any other number. We show how this factorization algorithm can…
Inverse problem to recover simultaneously a scalar coefficient, order of a time-fractional derivative, parameters of multiterm fractional Laplacian and a time-dependent source term occurring in a superdiffusion equation from measurements…
Here we discuss a regularized version of the factorization method for positive operators acting on a Hilbert Space. The factorization method is a qualitative reconstruction method that has been used to solve many inverse shape problems. In…
We study Fourier multipliers which result from modulating jumps of L\'evy processes. Using the theory of martingale transforms we prove that these operators are bounded in $L^p(\Rd)$ for $1<p<\infty$ and we obtain the same explicit bound…
This paper deals with the inverse problem of recovering an arbitrary number of fractional damping terms in a wave equation. We develop several approaches on uniqueness and reconstruction, some of them relying on Tauberian theorems on the…
The factorization of the universal R-matrix corresponding to so called Drinfeld Hopf structure is described on the example of quantum affine algebra $U_q(\hat{sl}_2)$. As a result of factorization procedure we deduce certain differential…
An alternative proof of factorization theorem for Drell-Yan process that works at operator level is given in the article. Final state interactions for such inclusive processes are proved to be cancel out at operator level according to the…
In this paper we study a spectrally negative L\'{e}vy process that is reflected at its draw-down level whenever a draw-down time from the running supremum arrives. Using an excursion-theoretical approach, for such a reflected process we…