Related papers: Supremum penalizations for L\'{e}vy processes
We investigate the high resolution coding problem for general real-valued L\'evy processes under L^p[0,1]-norm distortion. Tight asymptotic formulas are found under mild regularity assumptions.
We establish strong invariance principles for sums of stationary and ergodic processes with nearly optimal bounds. Applications to linear and some nonlinear processes are discussed. Strong laws of large numbers and laws of the iterated…
By using large deviation theory that deals with the decay of probabilities of rare events on an exponential scale, we study the longtime behaviors and establish action functionals for scaled Brownian motion and L\'evy processes with…
Max-stable processes are widely used to model spatial extremes. These processes exhibit asymptotic dependence meaning that the large values of the process can occur simultaneously over space. Recently, inverted max-stable processes have…
We find an expression for the joint Laplace transform of the law of $(T_{[x,+\infty[},X_{T_{[x,+\infty[}})$ for a L\'evy process $X$, where $T_{[x,+\infty[}$ is the first hitting time of $[x,+\infty[$ by $X$. When $X$ is an $\alpha$-stable…
The paper presents sufficient conditions of predictability for continuous time processes in deterministic setting. We found that processes with exponential decay on energy for higher frequencies are predictable in some weak sense on some…
This article focuses on properties of monotone convolutions. A criterion for infinite divisibility and time evolution of convolution semigroups are mainly studied. In particular, we clarify that many analogues of the classical results of…
We introduce a general theory on stationary approximations for locally stationary continuous-time processes. Based on the stationary approximation, we use $\theta$-weak dependence to establish laws of large numbers and central limit type…
In this paper we consider storage and inventory systems. Our aim is to apply and review main results of the fluctuation theory of stochastic processes in the context of storage and inventory modeling. We describe systems where the inflow is…
We analyze confining mechanisms for L\'{e}vy flights. When they evolve in suitable external potentials their variance may exist and show signatures of a superdiffusive transport. Two classes of stochastic jump - type processes are…
This article treats both discrete time and continuous time stopping problems for general Markov processes on the real line with general linear costs. Using an auxiliary function of maximum representation type, conditions are given to…
Motivated by classical considerations from risk theory, we investigate boundary crossing problems for refracted L\'evy processes. The latter is a L\'evy process whose dynamics change by subtracting off a fixed linear drift (of suitable…
The moments of central values of families of L-functions have recently attracted much attention and, with the work of Keating and Snaith, there are now precise conjectures for their limiting values. We develop a simple method to establish…
In this article we derive formulas for the probability $P(\sup_{t\leq T} X(t)>u)$ $T>0$ and $P(\sup_{t<\infty} X(t)>u)$ where $X$ is a spectrally positive L\'evy process with infinite variation. The formulas are generalizations of the…
We review some of the theory relevant to passage times of one-dimensional L\'evy processes out of bounded regions, highlighting results that are useful in physical phenomena modelled by heavy-tailed L\'evy flights. The process is…
We present some limit theorems for the normalized laws (with respect to functionals involving last passage times at a given level up to time t) of a large class of null recurrent diffusions. Our results rely on hypotheses on the L\'evy…
In this paper, we extend recent work on the functions that we call Bernstein-gamma to the class of bivariate Bernstein-gamma functions. In the more general bivariate setting, we determine Stirling-type asymptotic bounds which generalise,…
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…
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…
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…