Related papers: On fractional L\'evy processes: tempering, sample …
Fractional tempered stable motion (fTSm)} is defined and studied. FTSm has the same covariance structure as fractional Brownian motion, while having tails heavier than Gaussian but lighter than stable. Moreover, in short time it is close to…
A generic model of stochastic autocatalytic dynamics with many degrees of freedom $w_i$ $i=1,...,N$ is studied using computer simulations. The time evolution of the $w_i$'s combines a random multiplicative dynamics $w_i(t+1) = \lambda…
This paper establishes a Transition Path Theory (TPT) for L\'{e}vy-type processes, addressing a critical gap in the study of the transition mechanism between meta-stabile states in non-Gaussian stochastic systems. A key contribution is the…
In recent studies the truncated Levy process (TLP) has been shown to be very promising for the modeling of financial dynamics. In contrast to the Levy process, the TLP has finite moments and can account for both the previously observed…
In this paper, we survey some recent results on statistical inference (parametric and nonparametric statistical estimation, hypotheses testing) about the spectrum of stationary models with tapered data, as well as, a question concerning…
Motivated by the construction of the It\^o stochastic integral, we consider a step function method to discretize and simulate volatility modulated L\'evy semistationary processes. Moreover, we assess the accuracy of the method with a…
Levy processes are widely used in financial mathematics, telecommunication, economics, queueing theory and natural sciences for modelling. A typical model is obtained by considering finite dimensional linear stochastic SISO systems driven…
The fractional Poisson process (FPP) is a counting process with independent and identically distributed inter-event times following the Mittag-Leffler distribution. This process is very useful in several fields of applied and theoretical…
This paper addresses the estimation problem of an unknown drift parameter matrix for a fractional Ornstein-Uhlenbeck process in a multi-dimensional setting. To tackle this problem, we propose a novel approach based on rough path theory that…
We find that multifractal scaling is a robust property of a large class of continuous stochastic processes, constructed as exponentials of long-memory processes. The long memory is characterized by a power law kernel with tail exponent…
The large deviations theory for heavy-tailed processes has seen significant advances in the recent past. In particular, Rhee et al. (2019) and Bazhba et al. (2020) established large deviation asymptotics at the sample-path level for L\'evy…
This paper investigates a class of stochastic Logistic harvesting models driven by tempered stable processes, with a one-sided power-law L\'evy measure. We establish threshold conditions for population extinction and persistence, prove the…
This chapter is an attempt to present a mathematical theory of compound fractional Poisson processes. The chapter begins with the characterization of a well-known L\'evy process: The compound Poisson process. The semi-Markov extension of…
New sampling algorithms based on simulating continuous-time stochastic processes called piece-wise deterministic Markov processes (PDMPs) have shown considerable promise. However, these methods can struggle to sample from multi-modal or…
2-field functional integrals (2FFI) are an important class of solution methods for generating functions of dissipative processes, including discrete-state stochastic processes, dissipative dynamical systems, and decohering quantum…
We develop a stochastic calculus for processes which are built by convoluting a pure jump, zero expectation L\'{e}vy process with a Volterra-type kernel. This class of processes contains, for example, fractional L\'{e}vy processes as…
In this paper we study time-inhomogeneous affine processes beyond the common assumption of stochastic continuity. In this setting times of jumps can be both inaccessible and predictable. To this end we develop a general theory of finite…
Dilative stability generalizes the property of selfsimilarity for infinitely divisible stochastic processes by introducing an additional scaling in the convolution exponent. Inspired by results of Igl\'oi, we will show how dilatively stable…
This paper is part of a project that aims at modelling wave propagation in random media by means of Fourier integral operators. A partial aspect is addressed here, namely explicit models of stochastic, highly irregular transport speeds in…
A cylindrical Levy process does not enjoy a cylindrical version of the semi-martingale decomposition which results in the need to develop a completely novel approach to stochastic integration. In this work, we introduce a stochastic…