Related papers: Hitting Probabilities of Finite Points for One-Dim…
Upper estimates of densities of convolution semigroups of probability measures are given under explicit assumptions on the corresponding L\'evy measure and the L\'evy--Khinchin exponent.
Several long-time limit theorems of one-dimensional L\'{e}vy processes weighted and normalized by functions of the local time are studied. The long-time limits are taken via certain families of random times, called clocks: exponential…
We derive the exact asymptotics of $P(\sup_{u\leq t}X(u) > x)$ if $x$ and $t$ tend to infinity with $x/t$ constant, for a L\'{e}vy process $X$ that admits exponential moments. The proof is based on a renewal argument and a two-dimensional…
In the first part of this paper, we obtain symmetric formulae for the probabilities that a plane convex body hits exactly 1, 2, 3, 4, 5 or 6 triangles of a lattice of congruent triangles in the plane. Furthermore, a very simple formula for…
We study the small-time asymptotics of sample paths of L\'evy processes and L\'evy-type processes. Namely, we investigate under which conditions the limit $$\limsup_{t \to 0} \frac{1}{f(t)} |X_t-X_0|$$ is finite resp.\ infinite with…
In this paper, we give a sufficient condition for transience for a class of one-dimensional symmetric L\'evy processes. More precisely, we prove that a one-dimensional symmetric L\'evy process with the L\'evy measure $\nu(dy)=f(y)dy$ or…
We give sharp, uniform estimates for the probability that a random walk of n steps on the reals avoids a half-line [y,infinity) given that it ends at the point x. The estimates hold for general continuous or lattice distributions provided…
We study analytically an intermittent search process in one dimension. There is an immobile target at the origin and a searcher undergoes a discrete time jump process starting at $x_0\geq0$, where successive jumps are drawn independently…
Several long-time limit theorems of one-dimensional L\'evy processes weighted and normalized by functions of its supremum are studied. The long-time limits are taken via the families of exponential times and that of constant times, called…
Given a sample from a discretely observed L\'evy process $X=(X_t)_{t\geq 0}$ of the finite jump activity, the problem of nonparametric estimation of the L\'evy density $\rho$ corresponding to the process $X$ is studied. An estimator of…
Which Levy processes satisfy Hunt's hypothesis (H) is a long-standing open problem in probabilistic potential theory. The study of this problem for one-dimensional Levy processes suggests us to consider (H) from the point of view of the sum…
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…
Pricing of high-dimensional options is a deep problem of the Theoretical Financial Mathematics. In this article we present a new class of L\'{e}vy driven models of stock markets. In our opinion, any market model should be based on a…
L\'{e}vy processes with completely monotone jumps appear frequently in various applications of probability. For example, all popular stock price models based on L\'{e}vy processes (such as the Variance Gamma, CGMY/KoBoL and Normal Inverse…
We study a first passage time of a L\'evy process over a positive constant level. In the spectrally negative case we give conditions for absolutely continuity of the distributions of the first passage times. The tail asymptotics of their…
We give several general theorems concerning positive definite solutions of Riemann-Hilbert problems on the real line. Furthermore, as an example, we apply our theory to the characteristic function of a class of L\'{e}vy processes and we…
We present an exact sampling method for the first passage event of a Levy process. The idea is to embed the process into another one whose first passage event can be sampled exactly, and then recover the part belonging to the former from…
We study L\'{e}vy-like and truncated L\'{e}vy-like flights with step probability distribution of the form $r^{-1+\nu}$ for negative, positive, and zero $\nu$, focusing on the appearance of fractal geometry characteristics in the generated…
Long-time limit of one-dimensional L\'{e}vy processes weighted and normalized with respect to the exponential functional of two-point local times are studied. The limit processes may vary according to the choice of random clocks.
By using absolutely continuous lower bounds of the L\'evy measure, explicit gradient estimates are derived for the semigroup of the corresponding L\'evy process with a linear drift. A derivative formula is presented for the conditional…