Related papers: Multi-point local time penalizations with various …
In this paper we study the mean of the first exit time from a bounded interval of various L\'evy processes. We establish sharp two-sided estimates of the mean for L\'evy processes under certain condition on their characteristic exponents.…
Energy games belong to a class of turn-based two-player infinite-duration games}played on a weighted directed graph. It is one of the rare and intriguing combinatorial problems that lie in ${\sf NP} \cap {\sf co\mbox{-}NP}$, but are not…
We analyze the problem of job scheduling with preempting on weighted jobs that can have either linear or exponential penalties. We review relevant literature on the problem and create and describe a few online algorithms that perform…
We investigate the behavior of L\'{e}vy processes with convolution equivalent L\'{e}vy measures, up to the time of first passage over a high level u. Such problems arise naturally in the context of insurance risk where u is the initial…
We consider a matching problem for time series with values in an arbitrary metric space, with the stretching penalty given by the Hellinger kernel. To optimize this matching, we introduce the Elastic Time Warping algorithm with a cubic…
Scaling properties of time series are usually studied in terms of the scaling laws of empirical moments, which are the time average estimates of moments of the dynamic variable. Nonlinearities in the scaling function of empirical moments…
Several stochastic processes related to transient L\'evy processes with potential densities $u(x,y)=u(y-x)$, that need not be symmetric nor bounded on the diagonal, are defined and studied. They are real valued processes on a space of…
We apply multilevel Monte Carlo for option pricing problems using exponential L\'{e}vy models with a uniform timestep discretisation to monitor the running maximum required for lookback and barrier options. The numerical results demonstrate…
We study shared multi-processor scheduling problem where each job can be executed on its private processor and simultaneously on one of many processors shared by all jobs in order to reduce the job's completion time due to processing time…
This paper presents a kriging method for spatial prediction of temporal intensity functions, for situations where a temporal point process is observed at different spatial locations. Assuming that several replications of the processes are…
The Value Problem for weighted timed games (WTGs) consists in determining, given a two-player weighted timed game with a reachability objective and a rational threshold, whether or not the value of the game exceeds the threshold. This…
We study the action and the dynamics of a relativistic particle, uncharged or charged, in multiscale spacetimes. Invariance under reparametrizations and Poincar\'e symmetries uniquely determine the action and the line element to be the…
This paper considers the class of L\'evy processes that can be written as a Brownian motion time changed by an independent L\'evy subordinator. Examples in this class include the variance gamma model, the normal inverse Gaussian model, and…
We develop a penalized two-pass regression with time-varying factor loadings. The penalization in the first pass enforces sparsity for the time-variation drivers while also maintaining compatibility with the no-arbitrage restrictions by…
The complexity of Pareto fronts imposes a great challenge on the convergence analysis of multi-objective optimization methods. While most theoretical convergence studies have addressed finite-set and/or discrete problems, others have…
In this paper, we establish the existence of moments and moment estimates for L\'evy-type processes. We discuss whether the existence of moments is a time dependent distributional property, give sufficient conditions for the existence of…
Motivated by a common Mathematical Finance topic, we discuss the reciprocal of the exit time from a cone of planar Brownian motion which also corresponds to the exponential functional of an associated Brownian motion. We prove a conjecture…
Lewis and Mordecki have computed the Wiener-Hopf factorization of a L\'evy process whose restriction on $]0,+\infty[$ of their L\'evy measure has a rational Laplace transform. That allows to compute the distribution of $(X_t,\inf_{0\leq…
For a spectrally one-sided L\'{e}vy process, we extend various two-sided exit identities to the situation when the process is only observed at arrival epochs of an independent Poisson process. In addition, we consider exit problems of this…
We define renormalized intersection local times for random interlacements of L\'evy processes in R^{d} and prove an isomorphism theorem relating renormalized intersection local times with associated Wick polynomials.