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Moving average processes driven by exponential-tailed L\'evy noise are important extensions of their Gaussian counterparts in order to capture deviations from Gaussianity, more flexible dependence structures, and sample paths with jumps.…
In this note, we study the ultimate ruin probabilities of a real-valued L{\'e}vy process X with light-tailed negative jumps. It is well-known that, for such L{\'e}vy processes, the probability of ruin decreases as an exponential function…
This paper describes how one can use the well-known Bayesian prior to posterior analysis of the Dirichlet process, and less known results for the gamma process, to address the formidable problem of assessing the distribution of linear…
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 exponential functionals of a multi-dimensional Brownian motion with drift, defined via a collection of linear functionals. We give a characterization of the Laplace transform of their joint law as the unique bounded solution, up…
In this paper, we address rare-event simulation for heavy-tailed L\'evy processes with infinite activities. The presence of infinite activities poses a critical challenge, making it impractical to simulate or store the precise sample path…
By using absolutely continuous lower bounds of the L\'evy measure, explicit gradient estimates are derived for the semigroup of the corresponding L\'evy process with a linear drift. A derivative formula is presented for the conditional…
We give a probabilistic interpretation for the Barnes G-function which appears in random matrix theory and in analytic number theory in the important moments conjecture due to Keating-Snaith for the Riemann zeta function, via the analogy…
In this paper, we consider function-indexed normalized weighted integrated periodograms for equidistantly sampled multivariate continuous-time state space models which are multivariate continuous-time ARMA processes. Thereby, the sampling…
The scale function holds significant importance within the fluctuation theory of Levy processes, particularly in addressing exit problems. However, its definition is established through the Laplace transform, thereby lacking explicit…
In general, while obtaining the probability density function of sums and products of shifted random variables, ordinary analytical methods such as Fourier and Mellin transforms tend to provide integrals which cannot be expressed in terms of…
We investigate the properties of multifractal products of geometric Gaussian processes with possible long-range dependence and geometric Ornstein-Uhlenbeck processes driven by L\'{e}vy motion and their finite and infinite superpositions. We…
We prove that the norm of a $d$-dimensional L\'evy process possesses a finite second moment if and only if the convex distance between an appropriately rescaled process at time $t$ and a standard Gaussian vector is integrable in time with…
This paper first strictly proved that the growth of the second moment of a large class of Gaussian processes is not greater than power function and the covariance matrix is strictly positive definite. Under these two conditions, the maximum…
A simple approach for modeling multivariate extremes is to consider the vector of component-wise maxima and their max-stable distributions. The extremal dependence can be inferred by estimating the angular measure or, alternatively, the…
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…
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…
We obtain general lower estimates of transition densities of jump L\'evy processes. We use them for processes with L\'evy measures having bounded support, processes with exponentially decaying L\'evy measures for large times and for…
Donsker-type functional limit theorems are proved for empirical processes arising from discretely sampled increments of a univariate L\'evy process. In the asymptotic regime the sampling frequencies increase to infinity and the limiting…
It is proved that as $T \to \infty$, uniformly for all positive integers $\ell \leqslant (\log_3 T) / (\log_4 T)$, we have \begin{equation*} \max_{T\leqslant t\leqslant 2T}\left|\zeta^{(\ell)}\Big(1+it\Big)\right| \geqslant \big(\mathbf…