Related papers: CBI-time-changed L\'evy processes
We consider continuous state branching processes (CSBP) with additional multiplicative jumps modeling dramatic events in a random environment. These jumps are described by a L\'evy process with bounded variation paths. We construct a…
For one-dimensional symmetric L\'{e}vy processes, which hit every point with positive probability, we give sharp bounds for the tail function of the first hitting time of B which is either a single point or an interval. The estimates are…
Let $X=\{X_{t},t\in R_{+}\}$ be a symmetric L\'evy process with local time $\{L^{x}_{t} ; (x,t)\in R^{1}\times R^{1}_{+}\}$. When the L\'evy exponent $\psi(\la)$ is regularly varying at infinity with index $1<\beta\leq 2$ and satisfies some…
Different time-discretization methods for equivalent-control based sliding mode control (ECB-SMC) are presented. A new discrete-time sliding mode control scheme is proposed for linear time-invariant (LTI) systems. It is error-free in the…
In Section 1, we revisit the partial differential equation (PDE) for the probability generating function (PGF) of the time-nonhomogeneous BDI (birth-and-death-with-immigration) process and derive a closed form solution. To the best of our…
This article is devoted to some time-changed stochastic models based on multivariate stable processes. The considered models have several advantages in comparison with classical time-changed Brownian motions - for instance, it turns out…
The Chicago Board Options Exchange Volatility Index (VIX) is calculated from SPX options and derivatives of VIX are also traded in market, which leads to the so-called ``consistent modeling" problem. This paper proposes a time-changed…
We present a time change construction of affine processes with state-space $\mathbb{R}_+^m\times \mathbb{R}^n$. These processes were systematically studied in (Duffie, Filipovi\'c and Schachermayer, 2003) since they contain interesting…
We adapt the classical definition of locally stationary processes in discrete-time to the continuous-time setting and obtain equivalent representations in the time and frequency domain. From this, a unique time-varying spectral density is…
This paper studies the invertibility property of continuous time moving average processes driven by a L\'evy process. We provide of sufficient conditions for the recovery of the driving noise. Our assumptions are specified via the kernel…
We study the speed of extinction of continuous state branching processes in a L\'evy environment, where the associated L\'evy process oscillates. Assuming that the L\'evy process satisfies the Spitzer's condition and the existence of some…
Functional limit theorems are established for continuous-state branching processes with immigration (CBIs), where the reproduction laws have finite first moments and the immigration laws exhibit large tails. Different regimes of immigration…
In this article we provide a sufficient condition for a continuous-state branching process with immigration (CBI process) to not hit its boundary, i.e. for non-extinction. Our result applies to arbitrary dimension $d \geq 1$ and is…
This article introduces the class of periodic trawl processes, which are continuous-time, infinitely divisible, stationary stochastic processes, that allow for periodicity and flexible forms of their serial correlation, including both…
In this paper, we study a multivariate version of the generalized counting process (GCP) and discuss its various time-changed variants. The time is changed using random processes such as the stable subordinator, inverse stable subordinator,…
Several long-time limit theorems of one-dimensional L\'{e}vy processes weighted and normalized by functions of the local time are studied. The long-time limits are taken via certain families of random times, called clocks: exponential…
Under a first order moment condition on the immigration mechanism, we show that an appropriately scaled supercritical and irreducible multi-type continuous state and continuous time branching process with immigration (CBI process) converges…
Logic of Behaviour in Context (LBC) is a spatio-temporal logic for expressing properties of continuous-state processes, such as biochemical reaction networks. LBC builds on the existing Metric Interval Temporal Logic (MITL) and adds a…
This paper explores a comprehensive class of time-changed stochastic processes constructed by subordinating Brownian motion with Levy processes, where the subordination is further governed by stochastic arrival mechanisms such as the Cox…
A multiplicative identity in law connecting the hitting times of completely asymmetric $\alpha-$stable L\'evy processes in duality is established. In the spectrally positive case, this identity allows with an elementary argument to compute…