Related papers: L\'evy walk revisited: Hermite polynomial expansio…
Lewis and Mordecki have computed the Wiener-Hopf factorization of a L\'evy process whose restriction on $]0,+\infty[$ of their L\'evy measure has a rational Laplace transform. That allows to compute the distribution of $(X_t,\inf_{0\leq…
In this paper approximation methods for infinite-dimensional Levy processes, also called (time-dependent) Levy fields, are introduced. For square integrable fields beyond the Gaussian case, it is no longer given that the one-dimensional…
The Fourier extension method, also known as the Fourier continuation method, is a method for approximating non-periodic functions on an interval using truncated Fourier series with period larger than the interval on which the function is…
We provide a quantum method for simulating Hamiltonian evolution with complexity polynomial in the logarithm of the inverse error. This is an exponential improvement over existing methods for Hamiltonian simulation. In addition, its scaling…
This paper deals with the numerical integration of Hamiltonian systems in which a stiff anharmonic potential causes highly oscillatory solution behavior with solution-dependent frequencies. The impulse method, which uses micro- and…
We propose a Hermite spectral method for the inelastic Boltzmann equation, which makes two-dimensional periodic problem computation affordable by the hardware nowadays. The new algorithm is based on a Hermite expansion, where the expansion…
In this paper nonparametric methods to assess the multivariate L\'{e}vy measure are introduced. Starting from high-frequency observations of a L\'{e}vy process $\mathbf{X}$, we construct estimators for its tail integrals and the…
Functional methods can be applied to the quantum effective action to efficiently determine counterterms and matching conditions for effective field theories. We extend the toolbox to two-loop order and beyond and show how to evaluate the…
This survey aims to review two decades of progress on exponential functionals of (possibly killed) real-valued L\'evy processes. Since the publication of the seminal survey by Bertoin and Yor, substantial advances have been made in…
In recent decades, there have been many attempts to construct symplectic integrators with variable time steps, with rather disappointing results. In this paper we identify the causes for this lack of performance, and find that they fall…
In multicentric representation of piecewise holomorphic functions one combines Lagrange interpolation at roots of a polynomial $p$ with convergent power series of $p$ as the "coefficients" multiplying the Lagrange basis polynomials. When…
In this paper we first provide several conditional limit theorems for L\'evy processes with negative drift and regularly varying tail. Then we apply them to study the asymptotic behavior of expectations of some exponential functionals of…
For $n$ equidistant observations of a L\'evy process at time distance $\Delta_n$ we consider the problem of testing hypotheses on the volatility, the jump measure and its Blumenthal-Getoor index in a non- or semiparametric manner.…
The Levy-type distributions are derived using the principle of maximum Tsallis nonextensive entropy both in the full and half spaces. The rates of convergence to the exact Levy stable distributions are determined by taking the N-fold…
A path integral formalism has been proposed recently for non-equilibrium statistical physics applications by the author. In this contribution we outline an efficient method for its numerical evaluation. The method used is based on the…
We present a method of generation of exact and explicit forms of one-sided, heavy-tailed Levy stable probability distributions g_{\alpha}(x), 0 \leq x < \infty, 0 < \alpha < 1. We demonstrate that the knowledge of one such a distribution…
In many approximate approaches to fermionic quantum many-body systems, such as Hartree-Fock and density functional theory, solving a system of non-interacting fermions coupled to some effective potential is the computational bottleneck. In…
We study Fourier and Laplace transforms for Fourier hyperfunctions with values in a complex locally convex Hausdorff space. Since any hyperfunction with values in a wide class of locally convex Hausdorff spaces can be extended to a Fourier…
We develop a scale-invariant truncated L\'evy (STL) process to describe physical systems characterized by correlated stochastic variables. The STL process exhibits L\'evy stability for the probability density, and hence shows scaling…
The challenge to fruitfully merge state-of-the-art techniques from mathematical finance and numerical analysis has inspired researchers to develop fast deterministic option pricing methods. As a result, highly efficient algorithms to…