Related papers: Two-point local time penalizations with various cl…
In this paper we present new theoretical results on optimal estimation of certain random quantities based on high frequency observations of a L\'evy process. More specifically, we investigate the asymptotic theory for the conditional mean…
In this article we discuss the existence of local time for a class of Gaussian processes which appears as the solutions to some stochastic evolution equations. We show that on small intervals such processes are Gaussian integrators…
In contrast to their seemingly simple and shared structure of independence and stationarity, L\'evy processes exhibit a wide variety of behaviors, from the self-similar Wiener process to piecewise-constant compound Poisson processes.…
Conditioning Markov processes to avoid a set is a classical problem that has been studied in many settings. In the present article we study the question if a Levy process can be conditioned to avoid an interval and, if so, the path behavior…
In this article, we introduce Mittag-Leffler L\'evy process and provide two alternative representations of this process. First, in terms of Laplace transform of the marginal densities and next as a subordinated stochastic process. Both…
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 central result of this paper is an analytic duality relation for real-valued L\'evy processes killed upon exiting a half-line. By Nagasawa's theorem, this yields a remarkable time-reversal identity involving the L\'evy process…
Several versions of It\^{o}'s formula have been obtained in the setting of the functional stochastic calculus. In this regard, we present a local time-space version that works for arbitrary bounded and continuous functionals of L\'{e}vy…
We construct intrinsic on-and off-diagonal upper and lower estimates for the transition probability density of a L\'evy process in small time. By intrinsic we mean that such estimates reflect the structure of the characteristic exponent of…
This paper will examine the cutoff for a random process on the hypercube, $\{0, 1\}^L$, closely related to the East Process. In this process, every coordinate has two 1/2-Poisson clocks at each coordinate which add the coordinate to the…
The main purpose of this chapter is to present some theoretical aspects of parametric estimation of L\'evy processes based on high-frequency sampling, with a focus on infinite activity pure-jump models. Asymptotics for several classes of…
Combinatorial Levy processes evolve on general state spaces of countable combinatorial structures. In this setting, the usual Levy process properties of stationary, independent increments are defined in an unconventional way in terms of the…
It is proved that the two-sided exits of a Levy process are proper, i.e. not a.s. equal to their one-sided counterparts, if and only if said process is not a subordinator or the negative of a subordinator. Furthermore, Levy processes are…
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…
In this note we explain two transitions known for moment generating functions of local times by means of properties of the renewal measure of a related renewal equation. The arguments simplify and strengthen results on the asymptotic…
We provide a framework for empirical process theory of locally stationary processes using the functional dependence measure. Our results extend known results for stationary Markov chains and mixing sequences by another common possibility to…
We consider the $L^2$-boundedness of the solution itself of the Cauchy problem for wave equations with time-dependent wave speeds. We treat it in the one-dimensional Euclidean space. To study these, we adopt a simple multiplier method by…
We consider different limit theorems for additive and multiplicative free L\'evy processes. The main results are concerned with positive and unitary multiplicative free L\'evy processes at small time, showing convergence to log free stable…
In a general class of one dimensional random differential equation the convergence of the distribution function of the solution to stationary state distribution is studied. In particular it is proved the boundedness respectively the…
Following our previous work [68], this paper continues to investigate the evolution dynamics of local times of spectrally positive L\'evy processes with Gaussian components in the spatial direction. We prove that conditioned on the…