Related papers: L\'evy walk revisited: Hermite polynomial expansio…
Levy walk is a fundamental model with applications ranging from quantum physics to paths of animal foraging. Taking animal foraging as an example, a natural idea that comes to one's mind is to introduce the multiple internal states for…
L\'{e}vy walk is a popular and more `physical' model to describe the phenomena of superdiffusion, because of its finite velocity. The movements of particles are under the influences of external potentials almost at anytime and anywhere. In…
Let $\xi$ be a L\'{e}vy process and $I_\xi(t):=\int_{0}^te^{-\xi_s}\mathrm{d} s$, $t\geq 0,$ be the exponential functional of L\'{e}vy processes on deterministic horizon. Given that $\lim_{t\to \infty}\xi_t=-\infty$ we evaluate for general…
It is well known that the Black-Scholes-Merton model suffers from several deficiencies. Jump-diffusion and Levy models have been widely used to partially alleviate some of the biases inherent in this classical model. Unfortunately, the…
The recurrence features of persistent random walks built from variable length Markov chains are investigated. We observe that these stochastic processes can be seen as L{\'e}vy walks for which the persistence times depend on some internal…
Liu and Liu in 2007 introduced the Fourier - Hermite transform $\sum a_{n}\lambda_{n}^{R}\psi_{n}(t)$ which is a random Fourier - Hermite series with random variables $\lambda_{n}^{R}$ choosen randomly from the unit circle of $\mathbb{C}$,…
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…
In this paper we show that a path-wise solution to the following integral equation $$ Y_t = \int_0^t f(Y_t) dX_t \qquad Y_0=a \in \R^d $$ exists under the assumption that X_t is a L\'evy process of finite p-variation for some $p \geq1$ and…
In this paper, we analyze a function space consisting of functions for which both the function and its Fourier transform exhibit Gaussian decay together with exponential growth governed by suitable weight functions. First, we examine…
In this paper, we propose a fast and accurate numerical method based on Fourier transform to solve Kolmogorov forward equations of symmetric scalar L\'evy processes. The method is based on the accurate numerical formulas for Fourier…
In many stochastic models, the observables of interest are naturally encoded in double transforms (e.g., Laplace transforms) that couple spatial and temporal variables. Notably, the double transform often provides the only analytically…
We present a method for computing the likelihood of a mixed hitting-time model that specifies durations as the first time a latent L\'evy process crosses a heterogeneous threshold. This likelihood is not generally known in closed form, but…
With a view to computing fluctuation identities related to stable processes, we review and extend the class of hypergeometric L\'evy processes explored in Kuznetsov and Pardo (arXiv:1012.0817). We give the Wiener-Hopf factorisation of a…
We provide explicit formulas for asymptotic densities of $d$-dimensional isotropic L\'evy walks, when $d>1$. The densities of multidimensional undershooting and overshooting L\'evy walks are presented as well. Interestingly, when the number…
Continuous-time random walks combining diffusive scattering and ballistic propagation on lattices model a class of L\'evy walks. The assumption that transitions in the scattering phase occur with exponentially-distributed waiting times…
A new derivation method of duality relations in stochastic processes is proposed. The current focus is on the duality between stochastic differential equations and birth-death processes. Although previous derivation methods have been based…
New partial differential equations for the Wiener-Hermite expansions of the Langevin (stochastic) transitions are formulated. They are solved recursively in full order series solutions with respect to $\sqrt{t}$. A sort of 'gauge' degrees…
Many important transport phenomena are described by simple mathematical models rooted in the diffusion equation. Geometrical constraints present in such phenomena often have influence of a universal sort and manifest themselves in scaling…
Intermittent stochastic processes appear in a wide field, such as chemistry, biology, ecology, and computer science. This paper builds up the theory of intermittent continuous time random walk (CTRW) and L\'{e}vy walk, in which the…
We study approximations to the Moreau envelope -- and infimal convolutions more broadly -- based on Laplace's method, a classical tool in analysis which ties certain integrals to suprema of their integrands. We believe the connection…