Related papers: Multi-point local time penalizations with various …
We present a numerical method to compute expectations of functionals of a piecewise-deterministic Markov process. We discuss time dependent functionals as well as deterministic time horizon problems. Our approach is based on the…
We consider the model selection problem for a large class of time series models, including, multivariate count processes, causal processes with exogenous covariates. A procedure based on a general penalized contrast is proposed. Some…
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…
The paper offers a unified approach to the study of three locally adaptive estimation methods in the context of univariate time series from both theoretical and empirical points of view. A general procedure for the computation of critical…
Consider compound Poisson processes with negative drift and no negative jumps, which converge to some spectrally positive L\'evy process with non-zero L\'evy measure. In this paper we study the asymptotic behavior of the local time process,…
Given a spectrally negative L\'evy process and independent Poisson observation times, we consider a periodic barrier strategy that pushes the process down to a certain level whenever it is above it. We also consider the versions with…
In this paper, we solve exit problems for a L\'evy process that resets proportionally to its current position at independent Poisson epochs times. This resetting causes an additional (proportional to its current level) downward (upward)…
For time-fractional parabolic equations with a Caputo time derivative of order $\alpha\in(0,1)$, we give pointwise-in-time a posteriori error bounds in the spatial $L_2$ and $L_\infty$ norms. Hence, an adaptive mesh construction algorithm…
In this paper, we study the law of the local time processes $(L_T^x(X),x\in \mathbb{R})$ associated to a spectrally negative L\'evy process $X$, in the cases $T=\tau_a^+$, the first passage time of $X$ above $a>0$ and $T=\tau(c)$, the first…
A common feature of reparametrization invariant theories is the difficulty involved in identifying an appropriate evolution parameter and in constructing a Hilbert space on states. Two well known examples of such theories are the…
We characterise the convergence of a certain class of discrete time Markov processes toward locally Feller processes in terms of convergence of associated operators. The theory of locally Feller processes is applied to L\'evy-type processes…
L\'evy stable (jump-type) processes are examples of intrinsically nonlocal random motions. This property becomes a serious obstacle if one attempts to model conditions under which a particular L\'evy process may be subject to physically…
The pricing of options in exponential Levy models amounts to the computation of expectations of functionals of Levy processes. In many situations, Monte-Carlo methods are used. However, the simulation of a Levy process with infinite Levy…
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…
In this work, we consider moments of exponential functionals of L\'{e}vy processes on a deterministic horizon. We derive two convolutional identities regarding these moments. The first one relates the complex moments of the exponential…
In this paper we study the classical scheduling problem of minimizing the total weighted completion time on a single machine with the constraint that one specific job must be scheduled at a specified position. We give dynamic programs with…
We derive a criterium for the almost sure finiteness of perpetual integrals of \LL processes for a class of real functions including all continuous functions and for general one-dimensional L\'evy processes that drifts to plus infinity.…
We study the problem of preemptive scheduling n jobs with given release times on m identical parallel machines. The objective is to minimize the average flow time. We show that when all jobs have equal processing times then the problem can…
In this paper we give an explicit expression for the local time of the classical risk process and associate it with the density of an occupational measure. To do so, we approximate the local time by a suitable sequence of absolutely…
This paper deals with the robust stability analysis of linear systems, subject to time-varying parameters. The Parameter Dependent Lyapunov Function are considered, assuming that the temporal derivative of the parameters are bounded. Some…