Related papers: Dini derivatives for Exchangeable Increment proces…

Recently, Giles et al. [14] proved that the efficiency of the Multilevel Monte Carlo (MLMC) method for evaluating Down-and-Out barrier options for a diffusion process $(X_t)_{t\in[0,T]}$ with globally Lipschitz coefficients, can be improved…

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…

Let $(Z_t)_{t\geq 0}$ denote the derivative martingale of branching Brownian motion, i.e.\@ the derivative with respect to the inverse temperature of the normalized partition function at critical temperature. A well-known result by Lalley…

The paper deals with the expected maxima of continuous Gaussian processes $X = (X_t)_{t\ge 0}$ that are H\"older continuous in $L_2$-norm and/or satisfy the opposite inequality for the $L_2$-norms of their increments. Examples of such…

De Finetti's theorem, also called the de Finetti-Hewitt-Savage theorem, is a foundational result in probability and statistics. Roughly, it says that an infinite sequence of exchangeable random variables can always be written as a mixture…

Following Milner's seminal paper, the representation of functions as processes has received considerable attention. For pure $\lambda$-calculus, the process representations yield (at best) non-extensional $\lambda $-theories (i.e., $\beta$…

Assume $\alpha\in (0, 2)$ and $d\ge 2$. Let $\mathcal L^\alpha$ be the generator of a symmetric, but not necessarily isotropic, $\alpha$-stable process $X$ in $\mathbb R^d$ whose L\'evy density is comparable with that of an isotropic…

Consider a spectrally positive L\'evy process $Z$ with log-Laplace exponent $\Psi$ and a positive continuous function $R$ on $(0,\infty)$. We investigate the entrance from $\infty$ of the process $X$ obtained by changing time in $Z$ with…

In [16], under mild conditions, a Wiener-Hopf type factorization is derived for the exponential functional of proper L\'evy processes. In this paper, we extend this factorization by relaxing a finite moment assumption as well as by…

In this note, notwithstanding the generalization, we simplify and shorten the proofs of the main results of the third author's paper \cite{SXY} significantly. In particular, the new proof for \cite[Theorem 1.1]{SXY} is quite short and,…

We study discrete-time stochastic processes $(X_t)$ on $[0,\infty)$ with asymptotically zero mean drifts. Specifically, we consider the critical (Lamperti-type) situation in which the mean drift at $x$ is about $c/x$. Our focus is the…

We study the extremal behavior of a stochastic integral driven by a multivariate L\'{e}vy process that is regularly varying with index $\alpha>0$. For predictable integrands with a finite $(\alpha+\delta)$-moment, for some $\delta>0$, we…

These lectures notes aim at introducing L\'{e}vy processes in an informal and intuitive way, accessible to non-specialists in the field. In the first part, we focus on the theory of L\'{e}vy processes. We analyze a `toy' example of a…

In [Fortini et al., Stoch. Proc. Appl. 100 (2002), 147--165] it is demonstrated that a recurrent Markov exchangeable process in the sense of Diaconis and Freedman is essentially a partially exchangeable process in the sense of de Finetti.…

The electromagnetic two-body problem has \emph{neutral differential delay} equations of motion that, for generic boundary data, can have solutions with \emph{discontinuous} derivatives. If one wants to use these neutral differential delay…

Dini's Theorem guarantees that a monotone sequence of continuous functions converges pointwise on a compact interval to a continuous limit that converges uniformly. In this paper, we establish new theorems generalizing Dini's result by…

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…

Moving average processes driven by exponential-tailed L\'evy noise are important extensions of their Gaussian counterparts in order to capture deviations from Gaussianity, more flexible dependence structures, and sample paths with jumps.…

Extensive amenability is a property of group actions which has recently been used as a tool to prove amenability of groups. We study this property and prove that it is preserved under a very general construction of semidirect products. As…

In this paper we analyze operators H = a^{ij}(x,t) X_i X_j - d/dt (having adopted Einstein's convention on repeated indexes), where the X_i's are H\"ormander vector fields generating a Carnot group and A = [a_{ij}] is a symmetric and…