Related papers: Double hypergeometric L\'evy processes and self-si…

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…

In our previous publications (IJTAF 2019, Math. Finance 2020), we introduced a general class of SINH-regular processes and demonstrated that efficient numerical methods for the evaluation of the Wiener-Hopf factors and various probability…

We use the recently-developed multiparameter theory of additive Levy processes to establish novel connections between an arbitrary Levy process $X$ in $\mathbf{R}^d$, and a new class of energy forms and their corresponding capacities. We…

We develop the information geometry of L\'evy processes. Deriving $\alpha$-divergences directly in terms of the L\'evy triplets of the L\'evy processes, we identify Fisher information matrix and $\alpha$-connection on the statistical…

We analyze two different confining mechanisms for L\'{e}vy flights in the presence of external potentials. One of them is due to a conservative force in the corresponding Langevin equation. Another is implemented by Levy-Schroedinger…

We study a class of self-similar processes with stationary increments belonging to higher order Wiener chaoses which are similar to Hermite processes. We obtain an almost sure wavelet-like expansion of these processes. This allows us to…

This note contains two simple observations. First, by the weak factorization of product $H^1$ (Ferguson--Lacey, Lacey--Terwilleger), we obtain a multi-parameter analogue of Hardy's inequality. Second, as a dual statement, the Fourier…

Additive processes are obtained from L\'{e}vy ones by relaxing the condition of stationary increments, hence they are spatially (but not temporally) homogeneous. By analogy with the case of time-homogeneous Markov processes, one can define…

The theory of ``Markov-up'' processes is being developed. This is a new class of stochastic processes with ``partial'' markovian features; it could also be called ``one-sided Markov''. Such a behavior may be found in the real world and in…

Flexible models for probability distributions are an essential ingredient in many machine learning tasks. We develop and investigate a new class of probability distributions, which we call a Squared Neural Family (SNEFY), formed by squaring…

Using Bailey's very-well-poised $_6\psi_6$ summation, we show that a specific sequence of well-poised bilateral basic hypergeometric $_3\psi_3$ series form a family of orthogonal functions on the unit circle. We further extract a bilateral…

We define a L\'evy process on a smooth manifold $M$ with a connection as a projection of a solution of a Marcus stochastic differential equation on a holonomy bundle of $M$, driven by a holonomy-invariant L\'evy process on a Euclidean…

In this paper, we introduce the notion of Bi-entangled hidden Markov processes. These are hidden quantum processes where the hidden processes themselves exhibit entangled Markov process, and the observable processes also exhibit…

Hypergeometric class equations are given by second order differential operators in one variable whose coefficient at the second derivative is a polynomial of degree $\leq2$, at the first derivative of degree $\leq1$ and the free term is a…

The theory of Lie algebras can be categorified starting from a new notion of "2-vector space", which we define as an internal category in Vect. There is a 2-category 2Vect having these 2-vector spaces as objects, "linear functors" as…

Hyper-Positive real, matrix-valued, rational functions are associated with absolute stability (the Lurie problem). Here, quantitative subsets of Hyper-positive functions, related through nested inclusions, are introduced. Structurally, this…

This note provides a factorization of a L\'evy pocess over a phase-type horizon $\tau$ given the phase at the supremum, thereby extending the Wiener-Hopf factorization for $\tau$ exponential. One of the factors is defined using time…

Distributional properties -including Laplace transforms- of integrals of Markov processes received a lot of attention in the literature. In this paper, we complete existing results in several ways. First, we provide the analytical solution…

In this work, we consider, in a general setting, multiparameter multidimensional Markov processes that are time-changed by an independent additive subordinator. By extending Phillips theorem, we show that the resulting process is a Feller…

This paper considers discretization of the L\'evy process appearing in the Lamperti representation of a strictly positive self-similar Markov process. Limit theorems for the resulting approximation are established under some regularity…