Related papers: Path properties of L\'evy driven mixed moving aver…

We prove the well-posedness of some non-linear stochastic differential equations in the sense of McKean-Vlasov driven by non-degenerate symmetric $\alpha$-stable L\'evy processes with values in $R^d$ under some mild H{\"o}lder regularity…

For a strictly stationary sequence of random vectors in $\mathbb{R}^d$ we study convergence of partial sum processes to L\'evy stable process in the Skorohod space with $J_1$-topology. We identify necessary and sufficient conditions for…

In this work we derive limit theorems for trawl processes. First,we study the asymptotic behaviour of the partial sums of the discretized trawl process $(X_{i\Delta_{n}})_{i=0}^{\lfloor nt\rfloor-1}$, under the assumption that as…

We demonstrate the extension of unpredictable motions in coupled autonomous systems with skew product structure in the case that generalized synchronization takes place. Sufficient conditions for the existence of unpredictable motions in…

We prove the well-posedness of a system of balance laws inspired by [8], describing macro-scopically the traffic flow on a multi-lane road network. Motivated by real applications, we allow for the the presence of space discontinuities both…

Multistable L\'evy motions are extensions of L\'evy motions where the stability index is allowed to vary in time. Several constructions of these processes have been introduced recently, based on Poisson and Ferguson-Klass-LePage series…

In this paper we develop an $L_2$-theory for stochastic partial differential equations driven by L\'evy processes. The coefficients of the equations are random functions depending on time and space variables, and no smoothness assumption of…

We present a general framework for weak convergence to decorated L\'evy processes in enriched spaces of c\`adl\`ag functions for vector-valued processes arising in deterministic systems. Applications include uniformly expanding maps and…

We give conditions under which the tail probability of the supremum over unit interval of a Levy process with light tail is equivalent to the tail of the value of the process at the right endpoint.

In this article, we are interested in the strong well-posedness together with the numerical approximation of some one-dimensional stochastic differential equations with a non-linear drift, in the sense of McKean-Vlasov, driven by a…

We determine the asymptotic behavior of the realized power variations, or more generally of sums of a given test function evaluated at the successive increments of a L\'{e}vy process. One can completely elucidate the first order behavior…

We present a time change construction of affine processes with state-space $\mathbb{R}_+^m\times \mathbb{R}^n$. These processes were systematically studied in (Duffie, Filipovi\'c and Schachermayer, 2003) since they contain interesting…

This article considers the statistical properties of L\'evy walks possessing a regular long-term linear scaling of the mean square displacement with time, for which the conditions of the classical Central Limit Theorem apply.…

First, we present some results about the H\"older continuity of the sample paths of so called dilatively stable processes which are certain infinitely divisible processes having a more general scaling property than self-similarity. As a…

In this paper, we study under which conditions 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 systems and we…

This paper aims at semi-parametrically estimating the input process to a L\'evy-driven queue by sampling the workload process at Poisson times. We construct a method-of-moments based estimator for the L\'evy process' characteristic…

A continuous-time particle system on the real line satisfying the branching property and an exponential integrability condition is called a branching L\'evy process, and its law is characterized by a triplet $(\sigma^2,a,\Lambda)$. We…

We propose new jump-adapted weak approximation schemes for stochastic differential equations driven by pure-jump L\'evy processes. The idea is to replace the driving L\'evy process $Z$ with a finite intensity process which has the same…

In this paper we present some limit theorems for power variation of L\'evy semi-stationary processes in the setting of infill asymptotics. L\'evy semi-stationary processes, which are a one-dimensional analogue of ambit fields, are moving…

We derive subexponential tail asymptotics for the distribution of the maximum of a compound renewal process with linear component and of a L\'evy process, both with negative drift, over random time horizon $\tau$ that does not depend on the…