Related papers: Schauder estimates for equations associated with L…
In this paper, we consider the exponential functional \(A_{\infty}=\int_0^\infty e^{-\xi_s}ds\) of a L{\'e}vy process \(\xi_s\) and aim to estimate the characteristics of \(\xi_{s}\) from the distribution of \(A_{\infty}\). We present a new…
Upper estimates of densities of convolution semigroups of probability measures are given under explicit assumptions on the corresponding L\'evy measure and the L\'evy--Khinchin exponent.
Explicit coupling property and gradient estimates are investigated for the linear evolution equations on Hilbert spaces driven by an additive cylindrical L\'evy process. The results are efficiently applied to establish the exponential…
Considering stochastic partial differential equations of parabolic type with random coefficients in vector-valued H\"older spaces, we obtain a sharp Schauder estimate. As an application, the existence and uniqueness of solution to the…
We investigate some recursive procedures based on an exact or ``approximate'' Euler scheme with decreasing step in vue to computation of invariant measures of solutions to S.D.E. driven by a L\'evy process. Our results are valid for a large…
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…
This paper defines the notion of generators for a class of decreasing radial Loewner chains which are only continuous with respect to time. For this purpose, "Loewner's integral equation" which generalizes Loewner's differential equation is…
We show that the generating function corresponding to the sequence of denominators of the best rational approximants of a quadratic irrational is a rational function with integer coefficients. Consequently we can compute the L\'evy constant…
We prove asymptotic behaviour of transition density for a large class of spectrally one-sided L\'evy processes of unbounded variation satisfying mild condition imposed on the second derivative of the Laplace exponent, or equivalently, on…
We study the Poisson equation Lu+f=0 in R^d, where L is the infinitesimal generator of a diffusion process. In this paper, we allow the second-order part of the generator L to be degenerate, provided a local condition of Doeblin type is…
In this paper, we study nonparametric estimation of the L\'{e}vy density for L\'{e}vy processes, with and without Brownian component. For this, we consider $n$ discrete time observations with step $\Delta$. The asymptotic framework is: $n$…
We develop a general construction for nonlinear L\'evy processes with given characteristics. More precisely, given a set $\Theta$ of L\'evy triplets, we construct a sublinear expectation on Skorohod space under which the canonical process…
In this paper, we study the problem of adaptive estimation of the spectral density of a stationary Gaussian process. For this purpose, we consider a wavelet-based method which combines the ideas of wavelet approximation and estimation by…
In this short article we show how the techniques presented in arXiv:1207.4469 can be extended to a variety of non continuous and multivariate processes. As examples, we prove uniqueness of the location of the maximum for spectrally positive…
The first-exit time process of an inverse Gaussian L\'evy process is considered. The one-dimensional distribution functions of the process are obtained. They are not infinitely divisible and the tail probabilities decay exponentially. These…
Computing the permanent of a non-negative matrix is a computationally challenging, \#P-complete problem with wide-ranging applications. We introduce a novel permanental analogue of Schur's determinant formula, leveraging a newly defined…
In this article we consider the Levy processes and the corresponding semigroup. We represent the generator of this semigroup in a convolution form. Using the obtained convolution form and the theory of integral equations we investigate the…
In this paper we study the Wiener-Hopf factorization for a class of L\'evy processes with double-sided jumps, characterized by the fact that the density of the L\'evy measure is given by an infinite series of exponential functions with…
When is it possible to interpret a given Markov process as a L\'evy-like process? Since the class of L\'evy processes can be defined by the relation between transition probabilities and convolutions, the answer to this question lies in the…
By using the Lie's invariance infinitesimal criterion we obtain the continuous equivalence transformations of a class of nonlinear Schr\"{o}dinger equations with variable coefficients. Starting from the equivalence generators we construct…