Related papers: Nonlinear free L\'evy-Khinchine formula and confor…
In this article, we define the new concept of local coupling property for Markov processes and study its relationship with distributional properties of the transition probability. In the special case of L\'evy processes we show that this…
We construct an estimator of the L\'evy density of a pure jump L\'evy process, possibly of infinite variation, from the discrete observation of one trajectory at high frequency. The novelty of our procedure is that we directly estimate the…
Voiculescu's random matrix model for freeness is extended to the non-Gaussian case and also the case of constant block diagonal matrices. Thus we are able to investigate free products of free group factors with matrix algebras and with the…
The proposal and study of dependent prior processes has been a major research focus in the recent Bayesian nonparametric literature. In this paper, we introduce a flexible class of dependent nonparametric priors, investigate their…
In classical complex analysis analyticity of a complex function $f$ is equivalent to differentiability of its real and imaginary parts $u$ and $v$, respectively, together with the Cauchy-Riemann equations for the partial derivatives of $u$…
We study the addditon problem for strongly matricially free random variables which generalize free random variables. Using operators of Toeplitz type, we derive a linearization formula for the `matricial R-transform' related to the…
L\'{e}vy processes with completely monotone jumps appear frequently in various applications of probability. For example, all popular stock price models based on L\'{e}vy processes (such as the Variance Gamma, CGMY/KoBoL and Normal Inverse…
In this work, we consider moments of exponential functionals of L\'{e}vy processes on a deterministic horizon. We derive two convolutional identities regarding these moments. The first one relates the complex moments of the exponential…
This brief manuscript provides an introduction to L\'evy processes and their applications in finance as the random process that drives asset models. Characteristic functions and random variable generators of popular L\'evy processes are…
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…
Several two-boundary problems are solved for a special L\'{e}vy process: the Poisson process with an exponential component. The jumps of this process are controlled by a homogeneous Poisson process, the positive jump size distribution is…
We prove sharp two-sided estimates on the tail probability of the first hitting time of bounded interval as well as its asymptotic behaviour for general non-symmetric processes which satisfy an integral condition \[ \int_0^{\infty}…
We apply Kovacic's algorithm from differential Galois theory to show that all complex non-oscillatory solutions (finite exponential of convergence of zeros) of certain Hill equations considered by Bank and Laine using Nevanlinna theory must…
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…
Free cumulants are multilinear functionals defined in terms of the moment functional with the use of the family of lattices of noncrossing partitions. In the univariate case, they can be identified with the coefficients of the Voiculescu…
It is shown that the hyperbolic functions can be associated with selfdecomposable distributions (in short: SD probability distributions or L\'evy class L probability laws). Consequently, they admit associated background driving L\'evy…
In this work, we introduce a theory of stochastic integration with respect to symmetric $\alpha$-stable cylindrical L\'evy processes. Since $\alpha$-stable cylindrical L\'evy processes do not enjoy a semi-martingale decomposition, our…
We compare two definitions of multistable L\'evy motions. Such processes are extensions of classical L\'evy motion where the stability index is allowed to vary in time. We show that the two multistable L\'evy motions have distinct…
This paper derives several formulae for the probability that a Wiener process, which has a stochastic drift and random variance, crosses a one-sided stochastic boundary within a finite time interval. A non-explicit formula is first obtained…
Which Levy processes satisfy Hunt's hypothesis (H) is a long-standing open problem in probabilistic potential theory. The study of this problem for one-dimensional Levy processes suggests us to consider (H) from the point of view of the sum…