Related papers: Schauder estimates for equations associated with L…
We construct an efficient integrator for stochastic differential systems driven by Levy processes. An efficient integrator is a strong approximation that is more accurate than the corresponding stochastic Taylor approximation, to all orders…
We discuss an impact of various (path-wise) reflection-from-the barrier scenarios upon confining properties of a paradigmatic family of symmetric $\alpha $-stable L\'{e}vy processes, whose permanent residence in a finite interval on a line…
In this paper, we study the compressibility of random processes and fields, called generalized L\'evy processes, that are solutions of stochastic differential equations driven by $d$-dimensional periodic L\'evy white noises. Our results are…
In this paper we derive explicit formulas for the densities of Levy walks. Our results cover both jump-first and wait-first scenarios. The obtained densities solve certain fractional differential equations involving fractional material…
For a given normalized Gaussian symmetric matrix-valued process $Y^{(n)}$, we consider the process of its eigenvalues $\{(\lambda_{1}^{(n)}(t),\dots, \lambda_{n}^{(n)}(t)); t\ge 0\}$ as well as its corresponding process of empirical…
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…
The paper studies the rate of convergence of the weak Euler approximation for solutions to SDEs driven by Levy processes, with Hoelder-continuous coefficients. It investigates the dependence of the rate on the regularity of coefficients and…
We study the exponential functional $\int_0^\infty e^{-\xi_{s-}} \, d\eta_s$ of two one-dimensional independent L\'evy processes $\xi$ and $\eta$, where $\eta$ is a subordinator. In particular, we derive an integro-differential equation for…
Last passage times arise in a number of areas of applied probability, including risk theory and degradation models. Such times are obviously not stopping times since they depend on the whole path of the underlying process. We consider the…
The L\'evy-stable distribution is the attractor of distributions which hold power laws with infinite variance. This distribution has been used in a variety of research areas, for example in economics it is used to model financial market…
We show that the infinitesimal generator of the symmetric simple exclusion process, recast as a quantum spin-1/2 ferromagnetic Heisenberg model, can be solved by elementary techniques on the complete, complete bipartite, and related…
In this article, we explore some of the main mathematical problems connected to multidimensional fractional conservation laws driven by L\'evy processes. Making use of an adapted entropy formulation, a result of existence and uniqueness of…
We prove Schauder estimates for a class of non-local elliptic operators with kernel $K(y)=a(y)/|y|^{d+\sigma}$ and either Dini or H\"older continuous data. Here $0 < \sigma < 2$ is a constant and $a$ is a bounded measurable function, which…
We develop a stochastic integration theory for predictable integrands with respect to a L\'evy basis. Our approach is based on decoupling inequalities for tangent sequences and reduces the construction of the stochastic integral essentially…
It is well known that certain fractional diffusion equations can be solved by the densities of stable L\'evy motions. In this paper we use the classical semigroup approach for L\'evy processes to define semi-fractional derivatives, which…
A characterization of finitely generated shift-invariant subspaces is given when generators are g-minimal. An algorithm is given for the determination of the coefficients in the well known representation of the Fourier transform of an…
In this paper we establish the existence and the uniqueness of the solution of a special class of BSDEs for L\'{e}vy processes in the case of a Lipschitz generator of sublinear growth. We then study a related problem of logarithmic utility…
Yor's generalized meander is a temporally inhomogeneous modification of the $2(\nu+1)$-dimensional Bessel process with $\nu > -1$, in which the inhomogeneity is indexed by $\kappa \in [0, 2(\nu+1))$. We introduce the non-colliding particle…
A strong inspiration for studying perturbation theory for fractional evolution equations comes from the fact that they have proven to be useful tools in modeling many physical processes. In this paper, we study fractional evolution…
Given a sample from a discretely observed L\'evy process $X=(X_t)_{t\geq 0}$ of the finite jump activity, the problem of nonparametric estimation of the L\'evy density $\rho$ corresponding to the process $X$ is studied. An estimator of…