Related papers: Complete monotonicity of time-changed L\'evy proce…
In this paper we present some limit theorems for power variation of L\'evy semi-stationary processes in the setting of infill asymptotics. L\'evy semi-stationary processes, which are a one-dimensional analogue of ambit fields, are moving…
This work has a purpose to collect selected facts about the completely monotone (CM) functions that can be found in books and papers devoted to different areas of mathematics. We opted for lesser known ones, and for those which may help…
We start by defining a subordinator by means of the lower-incomplete gamma function. It can be considered as an approximation of the stable subordinator, easier to be handled thank to its finite activity. A tempered version is also…
We study the asymptotic behaviour of the tail of the distribution of the first passage time of a L\'evy process over a one-sided moving boundary. Our main result states that if the boundary behaves as $t^{\gamma}$ for large $t$ for some…
As well known, all functionals of a Markov process may be expressed in terms of the generator operator, modulo some analytic work. In the case of spectrally negative Markov processes however, it is conjectured that everything can be…
We study trace functions on the form $ t\to\tr f(A+tB) $ where $ f $ is a real function defined on the positive half-line, and $ A $ and $ B $ are matrices such that $ A $ is positive definite and $ B $ is positive semi-definite. If $ f $…
In this paper we study a queue with L\'evy input, without imposing any a priori assumption on the jumps being one-sided. The focus is on computing the transforms of all sorts of quantities related to the transient workload, assuming the…
Consider a Wiener process $W$ on a circle of circumference $L$. We prove the rather surprising result that the Laplace transform of the distribution of the first time, $\theta_L$, when the Wiener process has visited every point of the…
This paper provides a multivariate extension of Bertoin's pathwise construction of a L\'evy process conditioned to stay positive/negative. Thus obtained processes conditioned to stay in half-spaces are closely related to the original…
We simplify the proof of some widely used theoretical theorems, extending their applicability, while correcting some erroneous results. We also generalize key results and present new results that contribute to the development of the theory.…
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…
A refracted L\'evy process is a L\'evy process whose dynamics change by subtracting off a fixed linear drift (of suitable size) whenever the aggregate process is above a pre-specified level. More precisely, whenever it exists, a refracted…
We study the default risk in incomplete information. That means, we model the value of a firm by one L\'evy process which is the sum of brownian motion with drift and compound Poisson process. This L\'evy process can not be observed…
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…
The focus of this article is on entropy and Markov processes. We study the properties of functionals which are invariant with respect to monotonic transformations and analyze two invariant "additivity" properties: (i) existence of a…
This short note gives a sufficient condition for having the class of polynomials dense in the space of square integrable functions with respect to a finite measure dominated by the Lebesgue measure in the real line, here denoted by $L^2$.…
It is noticed that a certain transform of the Mittag-Leffler function Ea is completely monotone for a in [1,2]. Using the explicit expressions of its Bernstein density, an identity in law between suprema of completely asymmetric Levy…
Let $a\in (0,\infty)$. For a spectrally negative L\'evy process $X$ with infinite variation paths the resolvent of the process killed on hitting the two-point set $V=\{-a,a\}$ is identified. When further $X$ has no diffusion component the…
This article focuses on properties of monotone convolutions. A criterion for infinite divisibility and time evolution of convolution semigroups are mainly studied. In particular, we clarify that many analogues of the classical results of…
We consider a family of linear singularly perturbed PDE relying on a complex perturbation parameter $\epsilon$. As in a former study of the authors (A. Lastra, S. Malek, Parametric Gevrey asymptotics for some nonlinear initial value Cauchy…