Related papers: Path properties of L\'evy driven mixed moving aver…
In this paper, we propose new conditions guaranteeing that the trajectories of a mechanical control system can track any curve on the configuration manifold. We focus on systems that can be represented as forced affine connection control…
New sufficient conditions for the characterization of dwell-times for linear impulsive systems are proposed and shown to coincide with continuous decrease conditions of a certain class of looped-functionals, a recently introduced type of…
We propose a path transformation which applied to a cyclically exchangeable increment process conditions its minimum to belong to a given interval. This path transformation is then applied to processes with start and end at zero. It is seen…
The L\'evy walk is a non-Brownian random walk model that has been found to describe anomalous dynamic phenomena in diverse fields ranging from biology over quantum physics to ecology. Recurrently occurring problems are to examine whether…
For a broad class of planar Markov processes, viz. L\'evy processes satisfying certain conditions (valid \textit{eg} in the case of Brownian motion and L\'evy flights), we establish an exact, universal formula describing the shape of the…
Takeda-Yano determined the limit of L\'{e}vy processes conditioned to avoid zero via various random clocks in terms of Doob's $h$-transform, where the limit processes may differ according to the choice of random clocks. The purpose of this…
We study robust nonlinear filtering for stochastic models driven by L\'evy processes, where the signal and observation processes are coupled through common Brownian and jump noise. Robustness, defined as the continuous dependence of the…
We consider various approximation properties for systems driven by a Mc Kean-Vlasov stochastic differential equations (MVSDEs) with continuous coefficients, for which pathwise uniqueness holds. We prove that the solution of such equations…
A new class of generalized backward doubly stochastic differential equations (GBDSDEs in short) driven by Teugels martingales associated with L\'evy process are investigated. We establish a comparison theorem which allows us to derive an…
Lyapunov drift and Lyapunov optimization are powerful techniques for optimizing time averages in stochastic queueing networks subject to stability. However, there are various definitions of queue stability in the literature, and the most…
Ba\~nuelos and Bogdan (2004) and Bogdan, Palmowski and Wang (2016) analyse the asymptotic tail distribution of the first time a stable (L\'evy) process in dimension $d\geq 2$ exists a cone. We use these results to develop the notion of a…
In this paper, we develop sample path large deviations for multivariate Hawkes processes with heavy-tailed mutual excitation rates. Our results address a broad class of rare events in Hawkes processes at the sample path level and, via the…
We give new proofs of certain equivalent conditions for the existence of generalized moments of a L\'evy process $(X_t)_{t\geq 0}$; in particular, the existence of a generalized $g$-moment is equivalent to the uniform integrability of…
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…
We establish a moderate deviation principle for processes with independent increments under certain growth conditions for the characteristics of the process. Using this moderate deviation principle, we give a new proof for Strassen's…
We prove a necessary and sufficient condition for the Liouville and strong Liouville properties of the infinitesimal generator of a L\'evy process and subordinate L\'evy processes. Combining our criterion with the necessary and sufficient…
In this paper, we study the L\'evy process time-changed by independent L\'evy subordinators, namely, the incomplete gamma subordinator, the $\epsilon$-jumps incomplete gamma subordinator and tempered incomplete gamma subordinator. We derive…
Buoyancy-driven convection in porous media governs heat and mass transport in a wide range of natural and engineered systems, from groundwater aquifers and geothermal reservoirs to carbon storage in geological formations and flows through…
In this paper, conditions for transience, recurrence, ergodicity and strong, subexponential (polynomial) and exponential ergodicity of a class of Feller processes are derived. The conditions are given in terms of the coefficients of the…
In this paper, we establish the existence of transition density for geometric $\alpha$-stable processes by using the property of self-decomposability--a fundamental concept in the theory of L\'evy processes. In contrast to traditional and…