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The probabilistic interpretation of Laplace transforms is used to help to describe the Laplace Transform $L(s)$ of improper random variables. In particular, busy periods in queueing models are examined. The value of $L(0)$ is explained in…
From a suitable integral representation of the Laplace transform of a positive semi-definite quadratic form of independent real random variables with not necessarily identical densities a univariate integral representation is derived for…
Based on the theory of independently scattered random measures, we introduce a natural generalisation of Gaussian space-time white noise to a Levy-type setting, which we call Levy-valued random measures. We determine the subclass of…
This article is a review of functional $f(R)$ approximations in the asymptotic safety approach to quantum gravity. It mostly focusses on a formulation that uses a non-adaptive cutoff, resulting in a second order differential equation. This…
A new method called "variational sampling" is proposed to estimate integrals under probability distributions that can be evaluated up to a normalizing constant. The key idea is to fit the target distribution with an exponential family model…
An obvious way to simulate a L\'evy process $X$ is to sample its increments over time $1/n$, thus constructing an approximating random walk $X^{(n)}$. This paper considers the error of such approximation after the two-sided reflection map…
The concept of permutograph is introduced and properties of integral functions on permutographs are established. The central result characterizes the class of integral functions that are representable as lattice polynomials. This result is…
In this paper we study a spectrally negative L\'{e}vy process that is reflected at its draw-down level whenever a draw-down time from the running supremum arrives. Using an excursion-theoretical approach, for such a reflected process we…
This purpose of this write-up is to share an idea for accurate computation of Laplace eigenvalues on a broad class of smooth domains. We represent the eigenfunction $u$ as a linear combination of eigenfunctions corresponding to the common…
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…
We present a conformal theory for intermittent scalar fields. As an example, we consider the energy flux from large to small scales in the developed turbulent flow. The conformal correlation functions are found in the inertial range of…
For $n$ equidistant observations of a L\'evy process at time distance $\Delta_n$ we consider the problem of testing hypotheses on the volatility, the jump measure and its Blumenthal-Getoor index in a non- or semiparametric manner.…
We derive explicitly the coupling property for the transition semigroup of a L\'{e}vy process and gradient estimates for the associated semigroup of transition operators. This is based on the asymptotic behaviour of the symbol or the…
The first passage time process of a L\'evy subordinator with heavy-tailed L\'evy measure has long-range dependent paths. The random fluctuations that appear under two natural schemes of summation and time scaling of such stochastic…
We propose a generalized functional linear regression model for a regression situation where the response variable is a scalar and the predictor is a random function. A linear predictor is obtained by forming the scalar product of the…
Highly concentrated functions play an important role in many research fields including control system analysis and physics, and they turned out to be the key idea behind inverse Laplace transform methods as well. This paper uses the…
A generalized logarithmic law for high-order moments of passive scalars is proposed for turbulent boundary layers. This law is analogous to the generalized log law that has been proposed for high-order moments of the turbulent longitudinal…
In the context of functional data analysis, probability density functions as non-negative functions are characterized by specific properties of scale invariance and relative scale which enable to represent them with the unit integral…
In this paper, we consider a class of generalized continuous-state branching processes obtained by Lamperti type time changes of spectrally positive L\'evy processes using different rate functions. When explosion occurs to such a process,…
We show that the scaled cumulant generating and large deviation function, associated to a two-state Markov process involving two processes, obey a symmetry relation reminiscent of the fluctuation theorem, independent from any conditions on…