Related papers: Conditioning to avoid bounded sets for a one-dimen…
We consider the problem of finding a stopping time that minimises the $L^1$-distance to $\theta$, the time at which a L\'evy process attains its ultimate supremum. This problem was studied in [12] for a Brownian motion with drift and a…
In this paper we first provide several conditional limit theorems for L\'evy processes with negative drift and regularly varying tail. Then we apply them to study the asymptotic behavior of expectations of some exponential functionals of…
We consider a generalization of a one-dimensional stochastic process known in the physical literature as L\'evy-Lorentz gas. The process describes the motion of a particle on the real line in the presence of a random array of marked points,…
Several two-boundary problems are solved for a special L\'{e}vy process: the Poisson process with an exponential component. The jumps of this process are controlled by a homogeneous Poisson process, the positive jump size distribution is…
We construct superharmonic functions and give sharp bounds for the expected exit time and probability of survival for isotropic unimodal L\'evy processes
Let $\{X_n\}$ be a stationary and ergodic time series taking values from a finite or countably infinite set ${\cal X}$. Assume that the distribution of the process is otherwise unknown. We propose a sequence of stopping times $\lambda_n$…
Time-invariant finite-dimensional systems, under reasonable continuity assumptions, exhibit the property that if solutions exist for all future times, the set of vectors reachable from a bounded set of initial conditions over bounded time…
We study constrained selection sets of random closed sets defined on a non-atomic probability space. Given a random interval $Y=[y_L,y_U]$ and scalar constraints on the expectation or the median of admissible selections, we characterize the…
We consider a particle system with weights and the scaling limits derived from its occupation time. We let the particles perform independent recurrent L\'evy motions and we assume that their initial positions and weights are given by a…
By killing a stable L\'{e}vy process when it leaves the positive half-line, or by conditioning it to stay positive, or by conditioning it to hit 0 continuously, we obtain three different positive self-similar Markov processes which…
We study the synthesis problem for systems with a parameterized number of processes. As in the classical case due to Church, the system selects actions depending on the program run so far, with the aim of fulfilling a given specification.…
We propose finitely convergent methods for solving convex feasibility problems defined over a possibly infinite pool of constraints. Following other works in this area, we assume that the interior of the solution set is nonempty and that…
We address L\'{e}vy-stable stochastic processes in bounded domains, with a focus on a discrimination between inequivalent proposals for what a boundary data-respecting fractional Laplacian (and thence the induced random process) should…
Providing finite-time probabilistic safety and reach-avoid guarantees is crucial for safety-critical stochastic systems. Existing state-of-the-art barrier methods often rely on a restrictive boundedness assumption for auxiliary functions,…
This paper is concerned with the small time behaviour of a L\'{e}vy process $X$. In particular, we investigate the {\it stabilities} of the times, $\Tstarb(r)$ and $\Tbarb(r)$, at which $X$, started with $X_0=0$, first leaves the space-time…
For a class of random partitions of an infinite set a de Finetti-type representation is derived, and in one special case a central limit theorem for the number of blocks is shown.
Two kinds of conditionings for one-dimensional stable L\'evy processes are discussed via $ h $-transforms of excursion measures: One is to stay positive, and the other is to avoid the origin.
The aim of this short note is to present the notion of IDT processes, which is a wide generalization of L\'{e}vy processes obtained from a modified infinitely divisible property. Special attention is put on a number of examples, in order to…
The location and width of the time window in which a sequence of processes converges to equilibrum are given under conditions of exponential convergence. The location depends on the side: the left-window and right window cutoffs may have…
We consider bounded extremum seeking controls for time-varying linear systems with uncertain coefficient matrices and measurement uncertainty. Using a new change of variables, Lyapunov functions, and a comparison principle, we provide…