Related papers: A factorization of a L\'evy process over a phase-t…
Different relativistic quantum mechanics approaches have recently been used to calculate properties of various systems, form factors in particular. It is known that predictions, which most often rely on a single-particle current…
In this paper, we introduce and study two time-changed variants of the generalized fractional Skellam process. These are obtained by time-changing the generalized fractional Skellam process with an independent L\'evy subordinator with…
Let $\Delta_{\Lambda}\le \lambda_{\Lambda}$ be a semi-bounded self-adjoint realization of the Laplace operator with boundary conditions (Dirichlet, Neumann, semi-transparent) assigned on the Lipschitz boundary of a bounded obstacle…
New families of time-dependent potentials related to the parametric oscillator are introduced. This is achieved by introducing some general time-dependent operators that factorize the appropriate constant of motion (quantum invariant) of…
We study a combination of the refracted and reflected L\'evy processes. Given a spectrally negative L\'evy process and two boundaries, it is reflected at the lower boundary while, whenever it is above the upper boundary, a linear drift at a…
For a L\'evy process on the real line, we provide complete criteria for the finiteness of exponential moments of the first passage time into the interval $(r,\infty)$, the sojourn time in the interval $(-\infty,r]$, and the last exit time…
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…
The Wiener-Hopf factorization is obtained in closed form for a phase type approximation to the CGMY L\'{e}vy process. This allows, for the approximation, exact computation of first passage times to barrier levels via Laplace transform…
Root subgroup factorization is a refinement of triangular (or LDU) factorization. For a complex reductive Lie group, and a choice of reduced factorization of the longest Weyl group element, the forward map from root subgroup coordinates to…
This paper provides a multivariate extension of Bertoin's pathwise construction of a L\'evy process conditioned to stay positive/negative. Thus obtained processes conditioned to stay in half-spaces are closely related to the original…
The paper provides a coherent presentation of an operator scheme, which is used in an approach to inverse problems of mathematical physics (the boundary control method). The scheme is based on the triangular factorization of operators. It…
We study the composition of bivariate L\'evy process with bivariate inverse subordinator. The explicit expressions for its dispersion and auto correlation matrices are obtained. Also, the time-changed two parameter L\'evy processes with…
This paper addresses a factorization method for imaging the support of a wave-number-dependent source function from multi-frequency data measured at a finite pair of symmetric receivers in opposite directions. The source function is given…
The applicability of the factorization method is extended to the case of quantum fractional-differential Hamiltonians. In contrast with the conventional factorization, it is shown that the `factorization energy' is now a…
Motivated by classical considerations from risk theory, we investigate boundary crossing problems for refracted L\'evy processes. The latter is a L\'evy process whose dynamics change by subtracting off a fixed linear drift (of suitable…
We introduce semicontinuous summation methods for series of fuzzy numbers and give Tauberian conditions under which summation of a series of fuzzy numbers via generalized Dirichlet series and via generalized factorial series implies its…
A factorization formula for wave functions, which is basic in the inverse spectral transform approach to initial-boundary value problems, is proved in greater generality than before. Applications follow. Related compatibility questions for…
For a broad class of planar Markov processes, viz. L\'evy processes satisfying certain conditions (valid \textit{eg} in the case of Brownian motion and L\'evy flights), we establish an exact, universal formula describing the shape of the…
Motivated by the pricing of lookback options in exponential L\'evy models, we study the difference between the continuous and discrete supremum of L\'evy processes. In particular, we extend the results of Broadie et al. (1999) to…
We study large deviation probabilities for a sum of dependent random variables from a heavy-tailed factor model, assuming that the components are regularly varying. We identify conditions where both the factor and the idiosyncratic terms…