Related papers: Multi-point local time penalizations with various …
Probabilistic timed automata are classical timed automata extended with discrete probability distributions over edges. We introduce clock-dependent probabilistic timed automata, a variant of probabilistic timed automata in which transition…
Priced timed games are two-player zero-sum games played on priced timed automata (whose locations and transitions are labeled by weights modelling the cost of spending time in a state and executing an action, respectively). The goals of the…
Using a new approach, for spectrally negative L\'evy processes we find joint Laplace transforms involving the last exit time (from a semi-infinite interval), the value of the process at the last exit time and the associated occupation time,…
In this article we develop a theory of exact linear penalty functions that generalizes and unifies most of the results on exact penalization existing in the literature. We discuss several approaches to the study of both locally and globally…
High-dimensional data pose challenges in statistical learning and modeling. Sometimes the predictors can be naturally grouped where pursuing the between-group sparsity is desired. Collinearity may occur in real-world high-dimensional…
We study the problem of reconstruction of special special time dependent local volatility from market prices of options with different strikes at two expiration times. For a general diffusion process we apply the linearization technique and…
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,…
This paper considers the problem of scheduling jobs on single and parallel machines where all the jobs possess different processing times but a common due date. There is a penalty involved with each job if it is processed earlier or later…
A generalized linear point process is specified in terms of an intensity that depends upon a linear predictor process through a fixed non-linear function. We present a framework where the linear predictor is parametrized by a Banach space…
Let $X=\{X_{t},t\in R_{+}\}$ be a symmetric L\'evy process with local time $\{L^{x}_{t} ; (x,t)\in R^{1}\times R^{1}_{+}\}$. When the L\'evy exponent $\psi(\la)$ is regularly varying at infinity with index $1<\beta\leq 2$ and satisfies some…
We investigate the effects of noise reinforcement on a Bessel process of dimension $d\in(0,2)$, and more specifically on the asymptotic behavior of its additive functionals. This leads us to introduce a local time process and its inverse.…
In the canonical approach to quantization of gravity, one often uses relational clock variables and an interpretation in terms of conditional probabilities to overcome the problem of time. In this essay we show that these suffer from…
This study develops an asymptotic theory for estimating the time-varying characteristics of locally stationary functional time series (LSFTS). We investigate a kernel-based method to estimate the time-varying covariance operator and the…
In this paper we present some new limit theorems for power variations of stationary increment L\'{e}vy driven moving average processes. Recently, such asymptotic results have been investigated in [Ann. Probab. 45(6B) (2017), 4477--4528,…
For a L\'evy process on the real line, we provide complete criteria for the finiteness of exponential moments of the first passage time into the interval $(r,\infty)$, the sojourn time in the interval $(-\infty,r]$, and the last exit time…
We introduce the notion of Local Computation Mechanism Design - designing game theoretic mechanisms which run in polylogarithmic time and space. Local computation mechanisms reply to each query in polylogarithmic time and space, and the…
Rules for the transformation of time parameters in relativistic Langevin equations are derived and discussed. In particular, it is shown that, if a coordinate-time parameterized process approaches the relativistic Juttner-Maxwell…
Multi-time equations are evolution equations involving several time variables, one for each particle. Such equations have been considered for the purpose of making theories manifestly Lorentz invariant. We compare their status and…
We study the connection between PDEs and L\'{e}vy processes running with clocks given by time-changed Poisson processes with stochastic drifts. The random times we deal with are therefore given by time-changed Poissonian jumps related to…
This article treats long term average impulse control problems with running costs in the case that the underlying process is a L\'evy process. Under quite general conditions we characterize the value of the control problem as the value of a…