Related papers: Product systems arising from L\'evy processe
We construct the time evolution of Kawasaki dynamics for a spatial infinite particle system in terms of generating functionals. This is carried out by an Ovsjannikov-type result in a scale of Banach spaces, which leads to a local (in time)…
L\'evy processes are widely used in financial mathematics to model return data. Price processes are then defined as a corresponding geometric L\'evy process, implying the fact that returns are independent. In this paper we propose an…
Modelling extreme events and heavy-tailed phenomena is central to building reliable predictive systems in domains such as finance, climate science, and safety-critical AI. While L\'evy processes provide a natural mathematical framework for…
Continuous-time stochastic systems have attracted a lot of attention recently, due to their wide-spread use in finance for modelling price-dynamics. More recently models taking into accounts shocks have been developed by assuming that the…
We show that a large subclass of variograms is closed under products and that some desirable stability properties, such as the product of special compositions, can be obtained within the proposed setting. We introduce new classes of kernels…
In this paper, we study some aspects on random analysis on the L\'eevy stochastic processes with margins following generalized hyperbolic distributions generated by gamma laws. In particular we study the boundedness of its total variations…
We study a family of quantum analogs of L\'evy's stochastic area for planar Brownian motion depending on a variance parameter $\sigma \geq 1$ which deform to the classical L\'evy area as $\sigma\rightarrow\infty$. They are defined as second…
We consider an Ornstein-Uhlenbeck process with values in R^n driven by a L\'evy process (Z_t) taking values in R^d with d possibly smaller than n. The L\'evy noise can have a degenerate or even vanishing Gaussian component. Under a…
We study the speed of extinction of continuous state branching processes in a L\'evy environment, where the associated L\'evy process oscillates. Assuming that the L\'evy process satisfies the Spitzer's condition and the existence of some…
Semilinear hyperbolic stochastic partial differential equations (SPDEs) find widespread applications in the natural and engineering sciences. However, the traditional Gaussian setting may prove too restrictive, as phenomena in mathematical…
We continue the investigation of the behaviour of octahedral norms in tensor products of Banach spaces. Firstly, we will prove the existence of a Banach space $Y$ such that the injective tensor products $l_1\widehat{\otimes}_\varepsilon Y$…
The class of multivariate L\'{e}vy-driven autoregressive moving average (MCARMA) processes, the continuous-time analogs of the classical vector ARMA processes, is shown to be equivalent to the class of continuous-time state space models.…
We investigate some recursive procedures based on an exact or ``approximate'' Euler scheme with decreasing step in vue to computation of invariant measures of solutions to S.D.E. driven by a L\'evy process. Our results are valid for a large…
We study whether a multivariate L\'evy-driven moving average process can shadow arbitrarily closely any continuous path, starting from the present value of the process, with positive conditional probability, which we call the conditional…
We consider switched systems on Banach and Hilbert spaces governed by strongly continuous one-parameter semigroups of linear evolution operators. We provide necessary and sufficient conditions for their global exponential stability, uniform…
{Let $B=(B_1(t),...,B_d(t))$ be a $d$-dimensional fractional Brownian motion with Hurst index $\alpha<1/4$, or more generally a Gaussian process whose paths have the same local regularity. Defining properly iterated integrals of $B$ is a…
The aim of this paper is to establish a global asymptotic equivalence between the experiments generated by the discrete (high frequency) or continuous observation of a path of a L{\'e}vy process and a Gaussian white noise experiment…
We study homogeneous quantum L\'{e}vy processes and fields with independent additive increments over a noncommutative *-monoid. These are described by infinitely divisible generating state functionals, invariant with respect to an…
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…
We show the existence of L\'evy-type stochastic processes in one space dimension with characteristic triplets that are either discontinuous at thresholds, or are stable-like with stability index functions for which the closures of the…