Related papers: Generalized scale functions for spectrally negativ…
We consider the problem of determining escape probabilities from an interval of a general compound renewal process with drift. This problem is reduced to the solution of a certain integral equation. In an actuarial situation where only…
This paper refers to the study of generalized Struve type function. Using generalized Galue type Struve function (GTSF) by Nisar et al. [13], we derive various integral transform, including Euler transform, Laplace transform, Whittakar…
We develop an approach to Malliavin calculus for L\'evy processes from the perspective of expressing a random variable $Y$ by a functional $F$ mapping from the Skorohod space of c\`adl\`ag functions to $\mathbb{R}$, such that $Y=F(X)$ where…
The present article is devoted to one class of generalizations of the Salem functions. To construct such functions by systems of functional equations, the generalized shift operator is used.
In a setting, where only "exit measures" are given, as they are associated with an arbitrary right continuous strong Markov process on a separable metric space, we provide simple criteria for the validity of Harnack inequalities for…
We show that in a broad class of processes that show a $1/f^{\alpha}$ spectrum, the power also explicitly depends on the characteristic time scale. Despite an enormous amount of work, this generic behavior remains so far overlooked and…
For spectrally positive L\'evy processes killed on exiting the half-line, existence of a quasi-stationary distribution is characterized by the exponential integrability of the exit time, the Laplace exponent and the non-negativity of the…
We prove sharp two-sided estimates on the tail probability of the first hitting time of bounded interval as well as its asymptotic behaviour for general non-symmetric processes which satisfy an integral condition \[ \int_0^{\infty}…
We develop a scale-invariant truncated L\'evy (STL) process to describe physical systems characterized by correlated stochastic variables. The STL process exhibits L\'evy stability for the probability density, and hence shows scaling…
There exist only a few known examples of subordinators for which the transition probability density can be computed explicitly along side an expression for its L\'evy measure and Laplace exponent. Such examples are useful in several areas…
We compute the average shape of trajectories of some one--dimensional stochastic processes x(t) in the (t,x) plane during an excursion, i.e. between two successive returns to a reference value, finding that it obeys a scaling form. For…
We construct harmonic functions in the quarter plane for discrete Laplace operators. In particular, the functions are conditioned to vanish on the boundary and the Laplacians admit coefficients associated with transition probabilities of…
We review some of the theory relevant to passage times of one-dimensional L\'evy processes out of bounded regions, highlighting results that are useful in physical phenomena modelled by heavy-tailed L\'evy flights. The process is…
Under appropriate conditions, we obtain smoothness and convexity properties of $q$-scale functions for spectrally negative L\'evy processes. Our method appeals directly to very recent developments in the theory of potential analysis of…
Under an appropriate regular variation condition, the affinely normalized partial sums of a sequence of independent and identically distributed random variables converges weakly to a non-Gaussian stable random variable. A functional version…
In this paper, we derive the joint Laplace transforms of occupation times until its last passage times as well as its positions. Motivated by Baurdoux [2], the last times before an independent exponential variable are studied. By applying…
We consider the conventional Laplace transform of $f(x)$, denoted by $\mathcal{L}[f(x); p]~\equiv~F(p)=\int_{0}^{\infty} e^{-p x} f(x) dx$ with ${\rm \mathfrak{Re}}(p) > 0$. For $0 < \alpha < 1$ we furnish the closed form expressions for…
In this paper we investigate functions that are harmonic with respect to the non-symmetric strictly $\alpha$-stable L\'evy processes on an open set $D \in \mathbb{R}^d$. We obtain the explicit formula for their boundary decay rate at parts…
In this article subordination of random walks in $R^d$ is considered. We prove that subordination of random walks in the sense of [BSC12] yields the same process as subordination of L\'evy processes (in the sense of Bochner). Furthermore,…
The present research deals with generalizations of the Salem function with arguments defined in terms of certain alternating expansions of real numbers. The special attention is given to modelling such functions by systems of functional…