Related papers: On fractional L\'evy processes: tempering, sample …
In this paper we present a general mathematical construction that allows us to define a parametric class of $H$-sssi stochastic processes (self-similar with stationary increments), which have marginal probability density function that…
Nonlinear conservation laws driven by L\'evy processes have solutions which, in the case of supercritical nonlinearities, have an asymptotic behavior dictated by the solutions of the linearized equations. Thus the explicit representation of…
This note is devoted to representation of some evolution semigroups. The semigroups are generated by pseudo-differential operators, which are obtained by different (parametrized by a number $\tau$) procedures of quantization from a certain…
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…
Fractional Poisson processes, a rapidly growing area of non-Markovian stochastic processes, are useful in statistics to describe data from counting processes when waiting times are not exponentially distributed. We show that the fractional…
Let $\xi=(\xi_t, t\ge 0)$ be a real-valued L\'evy process and define its associated exponential functional as follows \[ I_t(\xi):=\int_0^t \exp\{-\xi_s\}{\rm d} s, \qquad t\ge 0. \] Motivated by important applications to stochastic…
We investigate exponential stock models driven by tempered stable processes, which constitute a rich family of purely discontinuous L\'{e}vy processes. With a view of option pricing, we provide a systematic analysis of the existence of…
This paper establishes strong and weak convergence rates for slow-fast systems driven by $\alpha$-stable processes with jump coefficients. Unlike existing studies on multiscale systems driven by additive L\'{e}vy white noise, our model…
The ordinary Levy motion is a random process whose stationary independent increments are statistically self-affine and distributed with a stable probability law characterized by the Levy index alpha, 0 < alpha < 2. The divergence of…
In this article, we derive the state probabilities of different type of space- and time-fractional Poisson processes using z-transform. We work on tempered versions of time-fractional Poisson process and space-fractional Poisson processes.…
The Mellin transform is usually applied in probability theory to the product of independent random variables. In recent times the machinery of the Mellin transform has been adopted to describe the L\'evy stable distributions, and more…
Path decomposition is performed to characterize the law of the pre/post-supremum, post-infimum and the intermediate processes of a spectrally negative Levy process taken up to an independent exponential time T: As a result, mainly the…
The crossover among two or more types of diffusive processes represents a vibrant theme in nonequilibrium statistical physics. In this work we propose two models to generate crossovers among different L\'evy processes: in the first model we…
We introduce a novel class of generative models based on piecewise deterministic Markov processes (PDMPs), a family of non-diffusive stochastic processes consisting of deterministic motion and random jumps at random times. Similarly to…
In this work, we present a comprehensive theory of stochastic integration with respect to arbitrary cylindrical L\'evy processes in Hilbert spaces. Since cylindrical L\'evy processes do not enjoy a semi-martingale decomposition, our…
We provide new limit theory for functionals of a general class of processes lying at the boundary between stationarity and nonstationarity -- what we term weakly nonstationary processes (WNPs). This includes, as leading examples, fractional…
We present a class of L\'evy processes for modelling financial market fluctuations: Bilateral Gamma processes. Our starting point is to explore the properties of bilateral Gamma distributions, and then we turn to their associated L\'evy…
In the continuous time random walk model, the time-fractional operator usually expresses an infinite waiting time probability density. Different from that usual setting, this work considers the tempered time-fractional operator, which…
In this paper, we introduce a bivariate tempered space-fractional Poisson process (BTSFPP) by time-changing the bivariate Poisson process with an independent tempered $\alpha$-stable subordinator. We study its distributional properties and…
We characterize the finite variation property for stationary increment mixed moving averages driven by infinitely divisible random measures. Such processes include fractional and moving average processes driven by Levy processes, and also…