Related papers: Generalized scale functions for spectrally negativ…
We prove asymptotic behaviour of transition density for a large class of spectrally one-sided L\'evy processes of unbounded variation satisfying mild condition imposed on the second derivative of the Laplace exponent, or equivalently, on…
The characteristic measure of excursions away from a regular point is studied for a class of symmetric L\'evy processes without Gaussian part. It is proved that the harmonic transform of the killed process enjoys Feller property. The result…
Scaling properties of time series are usually studied in terms of the scaling laws of empirical moments, which are the time average estimates of moments of the dynamic variable. Nonlinearities in the scaling function of empirical moments…
What is the analogue of L\'evy processes for random surfaces? Motivated by scaling limits of random planar maps in random geometry, we introduce and study L\'evy looptrees and L\'evy maps. They are defined using excursions of general L\'evy…
Let $\{D(s), s \geq 0 \}$ be a L\'evy subordinator, that is, a non-decreasing process with stationary and independent increments and suppose that $D(0) = 0$. We study the first-hitting time of the process $D$, namely, the process $E(t) =…
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,…
This article study the class of distributions obtained by subordinating L\'evy processes and L\'evy bases. To do this we derive properties of a suitable mapping obtained via L\'evy mixing. We show that our results can be used to solve the…
We establish a large deviation principle for the normalized excursion and bridge of an $\alpha$-stable L\'evy process without negative jumps, with $1<\alpha<2$. Based on this, we derive precise asymptotics for the tail distributions of…
We study the distribution of the area under the normalized excursion of a spectrally positive stable L{\'e}vy process L, as well as the area under its meander, and under L conditioned to stay positive. Our results involve a special case of…
In this paper we study a new generalization of the kinetic equation emerging in run-and-tumble models. We show that this generalization leads to a wide class of generalized fractional kinetic (GFK) and telegraph-type equations depending by…
For a spectrally negative L\'evy process $X$, consider $g_t$, the last time $X$ is below the level zero before time $t\geq 0$. We use a perturbation method for L\'evy processes to derive an It\^o formula for the three-dimensional process…
Integral transform method (Fourier or Laplace transform, etc) is more often effective to do the theoretical analysis for the stochastic processes. However, for the time-space coupled cases, e.g., L\'evy walk or nonlinear cases, integral…
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…
Suppose that Y(t) is a d-dimensional Levy symmetric process for which its Levy measure differs from the Levy measure of the isotropic alpha-stable process (0<alpha<2) by a finite signed measure. For a bounded Lipschitz set D we compare the…
This article is about right inverses of Levy processes as first introduced by Evans in the symmetric case and later studied systematically by the present authors and their co-authors. Here we add to the existing fluctuation theory an…
In this paper we study a spectrally negative L\'evy process which is refracted at its running maximum and at the same time reflected from below at a certain level. Such a process can for instance be used to model an insurance surplus…
This article is devoted to derivation of the Laplace transforms of the derivatives with respect to parameters of certain special functions, namely, the Mittag-Leffler type, Wright and Le Roy type functions. These formulas show…
For a (killed) spectrally negative L\'evy process we provide an analytic expression for the distribution of its overshoot over a fixed level in terms of the infinitesimal generator and the scale function of the process. Our identity…
In [M. R\"osler and M. Voit. Integral Representation and Uniform Limits for Some Heckman-Opdam Hypergeometric Functions of type BC, Transactions of the American Mathematical Society, Vol. 368, No. 8, 6005-6032, 2016.], R\"osler and Voit…
In the spirit of previous of Albrecher, Hipp, Renaud and Zhou we consider a L\'evy insurance risk model with tax payments of a more general structure than in the aforementioned papers that was also considered in \cite{ABBR}. In terms of…