Related papers: Path properties of L\'evy driven mixed moving aver…
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 study a general transition operator, generated by a random walk on a graph $X$; in particular we give necessary and sufficient condition on the matrix coefficient (1-step transition probablilities) to be a bounded operator from…
The L\'evy walk process with rests is discussed. The jumping time is governed by an $\alpha$-stable distribution with $\alpha>1$ while a waiting time distribution is Poissonian and involves a position-dependent rate which reflects a…
In this paper we derive a technique of obtaining limit theorems for suprema of L\'evy processes from their random walk counterparts. For each $a>0$, let $\{Y^{(a)}_n:n\ge 1\}$ be a sequence of independent and identically distributed random…
In this paper we analyse time change equations (TCEs) for L\'evy-type processes in detail. To this end we establish a connection between TCEs and classical one-dimensional initial value problems (IVPs) which are easier to handle. Properties…
Given a free additive convolution semigroup $\left(\mu_t\right)_{t\geq 0}$ and a probability measure $\nu$ on $\mathbb{R}$, we find the necessary and sufficient conditions for the process $\mu_t \boxplus \nu$ to be Lebesgue absolutely…
We consider the problem of modelling restricted interactions between continuously-observed time series as given by a known static graph (or network) structure. For this purpose, we define a parametric multivariate Graph Ornstein-Uhlenbeck…
We study the asymptotic behaviour of the tail of the distribution of the first passage time of a L\'evy process over a one-sided moving boundary. Our main result states that if the boundary behaves as $t^{\gamma}$ for large $t$ for some…
From the point of view of stochastic analysis the Caputo and Riemann-Liouville derivatives of order $\al \in (0,2)$ can be viewed as (regularized) generators of stable L\'evy motions interrupted on crossing a boundary. This interpretation…
We give sufficient conditions ensuring that a $\psi$-mixing property holds for the sequence of empirical CDFs associated to a conjugate process.
For a general free L\'evy process, we prove the existence of its higher variation processes as limits in distribution, and identify the limits in terms of the L\'evy-It\^o representation of the original process. For a general free compound…
In this article, we define the new concept of local coupling property for Markov processes and study its relationship with distributional properties of the transition probability. In the special case of L\'evy processes we show that this…
We discuss simulation schemes for continuous-time autoregressive moving average (CARMA) processes driven by tempered stable L\'evy noises. CARMA processes are the continuous-time analogue of ARMA processes as well as a generalization of…
We consider solutions of L\'evy-driven stochastic differential equations of the form $\mathrm{d} X_t=\sigma(X_{t-})\mathrm{d} L_t$, $X_0=x$ where the function $\sigma$ is twice continuously differentiable and maximal of linear growth and…
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.
When is it possible to interpret a given Markov process as a L\'evy-like process? Since the class of L\'evy processes can be defined by the relation between transition probabilities and convolutions, the answer to this question lies in the…
Let $X_{\alpha}=\{X_{\alpha}(t),t\in T\}$, $\alpha>0$, be an $\alpha$-permanental process with kernel $u(s,t)$. We show that $X^{1/2}_{\alpha}$ is a subgaussian process with respect to the metric $\sigma (s,t)=…
We study optimization-based criteria for the stability of switching systems, known as Path-Complete Lyapunov Functions, and ask the question "can we decide algorithmically when a criterion is less conservative than another". Our…
In this paper we analyze the transient behavior of the workload process in a L\'evy input queue. We are interested in the value of the workload process at a random epoch; this epoch is distributed as the sum of independent exponential…
We consider the problem of estimation of the drift parameter of an ergodic Ornstein--Uhlenbeck type process driven by a L\'evy process with heavy tails. The process is observed continuously on a long time interval $[0,T]$, $T\to\infty$. We…