Related papers: Density behaviour related to L\'evy processes

We investigate the relation of the semigroup probability density of an infinite activity L\'{e}vy process to the corresponding L\'{e}vy density. For subordinators, we provide three methods to compute the former from the latter. The first…

This paper considers a L\'evy-driven queue (i.e., a L\'evy process reflected at 0), and focuses on the distribution of $M(t)$, that is, the minimal value attained in an interval of length $t$ (where it is assumed that the queue is in…

We show that the law of the overall supremum $\bar{X}_t=\sup_{s\le t}X_s$ of a L\'evy process $X$ before the deterministic time $t$ is equivalent to the average occupation measure $\mu_t(dx)=\int_0^t\p(X_s\in dx)\,ds$, whenever 0 is regular…

We consider the repulsive Vlasov-Poisson system in dimension $d \geq 4$. A sufficient condition on the decay rate of the associated electric field is presented that guarantees the scattering and determination of the complete asymptotic…

This paper considers magnitude, asymptotics and duration of drawdowns for some L\'{e}vy processes. First, we revisit some existing results on the magnitude of drawdowns for spectrally negative L\'{e}vy processes using an approximation…

We consider some special classes of L\'evy processes with no gaussian component whose L\'evy measure is of the type $\pi(dx)=e^{\gamma x}\nu(e^x-1) dx$, where $\nu$ is the density of the stable L\'evy measure and $\gamma$ is a positive…

We provide asymptotic results and develop high frequency statistical procedures for time-changed L\'evy processes sampled at random instants. The sampling times are given by first hitting times of symmetric barriers whose distance with…

We study for a class of symmetric L\'evy processes with state space $\rn$ the transition density $p_t(x)$ in terms of two one-parameter families of metrics, $(d_t)_{t>0}$ and $(\delta_t)_{t>0}$. The first family of metrics describes the…

Small-space and large-time estimates and asymptotic expansion of the distribution function and (the derivatives of) the density function of hitting times of points for symmetric L\'evy processes are studied. The L\'evy measure is assumed to…

We consider the passage time problem for L\'evy processes, emphasising heavy tailed cases. Results are obtained under quite mild assumptions, namely, drift to $-\infty$ a.s. of the process, possibly at a linear rate (the finite mean case),…

We consider the problem of estimating the density of the process associated with the small jumps of a pure jump L\'evy process, possibly of infinite variation, from discrete observations of one trajectory. The interest of such a question…

The L\'evy walk process with rests is discussed. The jumping time is governed by an $\alpha$-stable distribution with $\alpha>1$ while a waiting time distribution is Poissonian and involves a position-dependent rate which reflects a…

Levy walk at the finite velocity is considered. To analyze the spatial and temporal characteristics of this process, the method of moments has been used. The asymptotic distributions of the moments (at $t\to\infty$) have been obtained for…

The L\'evy walk process for a lower interval of an excursion times distribution ($\alpha<1$) is discussed. The particle rests between the jumps and the waiting time is position-dependent. Two cases are considered: a rising and diminishing…

In this work we give a complete description to the asymptotic behaviors of exponential functionals of L\'evy processes and divide them into five different types according to their convergence rates. Not only their exact convergence speeds…

We study the density of the supremum of a strictly stable L\'evy process. We prove that for almost all values of the index $\alpha$ -- except for a dense set of Lebesgue measure zero -- the asymptotic series which were obtained in A.…

We construct intrinsic on-and off-diagonal upper and lower estimates for the transition probability density of a L\'evy process in small time. By intrinsic we mean that such estimates reflect the structure of the characteristic exponent of…

For a L\'evy process on the real line, we provide complete criteria for the finiteness of exponential moments of the first passage time into the interval $(r,\infty)$, the sojourn time in the interval $(-\infty,r]$, and the last exit time…

In this paper, we study nonparametric estimation of the L\'{e}vy density for L\'{e}vy processes, with and without Brownian component. For this, we consider $n$ discrete time observations with step $\Delta$. The asymptotic framework is: $n$…

In this paper, we give a sufficient condition for transience for a class of one-dimensional symmetric L\'evy processes. More precisely, we prove that a one-dimensional symmetric L\'evy process with the L\'evy measure $\nu(dy)=f(y)dy$ or…