Related papers: Excursion theory for Markov processes indexed by L…
We prove two martingale identities which involve exit times of Levy-driven Ornstein--Uhlenbeck processes. Using these identities we find an explicit formula for the Laplace transform of the exit time under the assumption that positive jumps…
Given a general critical or sub-critical branching mechanism, we define a pruning procedure of the associated L\'evy continuum random tree. This pruning procedure is defined by adding some marks on the tree, using L\'evy snake techniques.…
The L\'evy walk, a type of random walk characterized by linear step lengths that follow a power-law distribution, is observed in the migratory behaviors of various organisms, ranging from bacteria to humans. Notably, L\'evy walks with power…
Stochastic processes time-changed by an inverse subordinator have been suggested as a way to model the price of assets in illiquid markets, where the jumps of the subordinator correspond to periods of time where one is unable to sell an…
Recent fluctuation identities for $\alpha$-stable L\'evy processes have decomposed paths using generalised spherical polar coordinates revealing an underlying Markov Additive Process (MAP) for which a more advanced form of excursion theory…
In this work, we study a family of non-Markovian trees modeling populations where individuals live and reproduce independently with possibly time-dependent birth-rate and lifetime distribution. To this end, we use the coding process…
Local time of a stochastic process quantifies the amount of time that sample trajectories $x(\tau)$ spend in the vicinity of an arbitrary point $x$. For a generic Hamiltonian, we employ the phase-space path-integral representation of random…
Among Markovian processes, the hallmark of L\'evy flights is superdiffusion, or faster-than-Brownian dynamics. Here we show that L\'evy laws, as well as Gaussians, can also be the limit distributions of processes with long range memory that…
We investigate the genealogical structure of general critical or subcritical continuous-state branching processes. Analogously to the coding of a discrete tree by its contour function, this genealogical structure is coded by a real-valued…
Invariance principles are obtained for a Markov process on a half-line with continuous paths on the interior. The domains of attraction of the two different types of self-similar processes are investigated. Our approach is to establish…
We present here a general framework and a specific algorithm for predicting the destination, route, or more generally a pattern, of an ongoing journey, building on the recent work of [Y. Lassoued, J. Monteil, Y. Gu, G. Russo, R. Shorten,…
We present a generative model of human mobility in which trajectories arise as realizations of a prescribed, time-dependent Markov dynamics defined on a spatial interaction network. The model constructs a hierarchical routing structure with…
L\'{e}vy walk is a popular and more `physical' model to describe the phenomena of superdiffusion, because of its finite velocity. The movements of particles are under the influences of external potentials almost at anytime and anywhere. In…
Excursion reflected Brownian motion (ERBM) is a strong Markov process defined in a finitely connected domain $D \subset \C$ that behaves like a Brownian motion away from the boundary of $D$ and picks a point according to harmonic measure…
We discuss subordination of random compact R-trees. We focus on the case of the Brownian tree, where the subordination function is given by the past maximum process of Brownian motion indexed by the tree. In that particular case, the…
Trees in Brownian excursions have been studied since the late 1980s. Forests in excursions of Brownian motion above its past minimum are a natural extension of this notion. In this paper we study a forest-valued Markov process which…
The excursion set approach uses the statistics of the density field smoothed on a wide range of scales, to gain insight into a number of interesting processes in nonlinear structure formation, such as cluster assembly, merging and…
The spectral theory of random walks on networks of arbitrary topology can be readily extended to study random walks and L\'evy flights subject to resetting on these structures. When a discrete-time process is stochastically brought back…
The recurrence features of persistent random walks built from variable length Markov chains are investigated. We observe that these stochastic processes can be seen as L{\'e}vy walks for which the persistence times depend on some internal…
Without higher moment assumptions, this note establishes the decay of the Kolmogorov distance in a central limit theorem for L\'evy processes. This theorem can be viewed as a continuous-time extension of the classical random walk result by…