Related papers: L\'evy processes with respect to the index Whittak…
We construct a Hunt process that can be described as an isotropic $\alpha$-stable L\'evy process reflected from the complement of a bounded open Lipschitz set. In fact, we introduce a new analytic method for concatenating Markov processes.…
In this work, we investigate the fine regularity of L\'evy processes using the 2-microlocal formalism. This framework allows us to refine the multifractal spectrum determined by Jaffard and, in addition, study the oscillating singularities…
Notions of the orthogonality and convolution orthogonality are explored with the use of the Kontorovich-Lebedev transform and its convolution. New classes of the corresponding orthogonal polynomials and functions are investigated. Integral…
Ito's construction of Markovian solutions to stochastic equations driven by a L\'evy noise is extended to nonlinear distribution dependent integrands aiming at the effective construction of linear and nonlinear Markov semigroups and the…
We formulate a classification conjecture for conformally invariant families of measures on simple loops that builds on a conjecture of Kontsevich and Suhov. The main example in this class of objects was constructed by Werner as boundaries…
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…
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…
Using generalized Blumenthal--Getoor indices, we obtain criteria for the finiteness of the $p$-variation of L\'evy-type processes. This class of stochastic processes includes solutions of Skorokhod-type stochastic differential equations…
We generalize the result of block-wise convergence of the Brownian motion on the unitary group $U(nm)$ towards a quantum L\'evy process on the unitary dual group $U\langle n\rangle$ when $m\rightarrow\infty$, obtained by the author in a…
For a complete lattice $L$ and a relational structure $\mathfrak{X}=(X,(R_i)_I)$, we introduce the convolution algebra $L^{\mathfrak{X}}$. This algebra consists of the lattice $L^X$ equipped with an additional $n_i$-ary operation $f_i$ for…
We obtain an intertwining relation between some Riemann-Liouville operators of order a in (1,2) connecting through a certain multiplicative identity in law the one-dimensional marginals of reflected completely asymmetric a-stable L\'evy…
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…
It is possible to construct L\'evy white noises as generalized random processes in the sense of Gel'fand and Vilenkin, or as an independently scattered random measures introduced by Rajput and Rosinski. In this article, we unify those two…
In this paper a Malliavin calculus for L\'evy processes based on a family of true derivative operators is developed. The starting point is an extension to L\'evy processes of the pioneering paper by Carlen and Pardoux [8] for the Poisson…
We characterise the H\"older continuity of the convex minorant of most L\'evy processes. The proof is based on a novel connection between the path properties of the L\'evy process at zero and the boundedness of the set of $r$-slopes of the…
Conditional independence and graphical models are crucial concepts for sparsity and statistical modeling in higher dimensions. For L\'evy processes, a widely applied class of stochastic processes, these notions have not been studied. By the…
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…
Scale functions play a central role in the fluctuation theory of spectrally negative L\'evy processes and often appear in the context of martingale relations. These relations are often complicated to establish requiring excursion theory in…
We will prove that: (1) A symmetric free L\'evy process is unimodal if and only if its free L\'evy measure is unimodal; (2) Every free L\'evy process with boundedly supported L\'evy measure is unimodal in sufficiently large time. (2) is…
Our main result is the martingale representations for Markov additive processes where the modulator is a Levy process. These processes have three parts: the modulator, the jumps of the ordinate triggered by the modulator, and the…