Related papers: Stochastic Loewner evolution driven by Levy proces…
A branching L\'evy process can be seen as the continuous-time version of a branching random walk. It describes a particle system on the real line in which particles move and reproduce independently in a Poissonian manner. Just as for L\'evy…
We numerically test the correspondence between the scaling limit of self-avoiding walks (SAW) in the plane and Schramm-Loewner evolution (SLE) with k=8/3. We introduce a discrete-time process approximating SLE in the exterior of the unit…
We show that in the continuum limit watersheds dividing drainage basins are Schramm-Loewner Evolution (SLE) curves, being described by one single parameter $\kappa$. Several numerical evaluations are applied to ascertain this. All…
In a high-frequency context, we investigate the efficient estimation of scaling and jump activity parameters for a stochastic differential equation driven by a L{\'e}vy process with both diffusion component and pure-jump component. We first…
We consider the problem of the simulation of Levy-driven stochastic differential equations. It is generally impossible to simulate the increments of a Levy-process. Thus in addition to an Euler scheme, we have to simulate approximately…
Combinatorial Levy processes evolve on general state spaces of countable combinatorial structures. In this setting, the usual Levy process properties of stationary, independent increments are defined in an unconventional way in terms of the…
In this paper we consider a new mathematical extension of the Black-Scholes model in which the stochastic time and stock share price evolution is described by two independent random processes. The parent process is Brownian, and the…
We present new results for the complex generalized integral means spectrum for two kinds of whole-plane Loewner evolutions driven by L\'evy processes: - L\'evy processes with continuous trajectories, which correspond to Schramm-Loewner…
We study a stochastic multiplicative system composed of finite asynchronous elements to describe the wealth evolution in financial markets. We find that the wealth fluctuations or returns of this system can be described by a walk with…
Stochastic evolution underpins several approaches to the dynamics of open quantum systems, such as random modulation of Hamiltonian parameters, the stochastic Schrodinger equation (SSE), and the stochastic Liouville equation (SLE). These…
We revisit the Bieberbach conjecture in the framework of SLE processes and, more generally, L\'evy processes. The study of their unbounded whole-plane versions leads to a discrete series of exact results for the expectations of coefficients…
We derive a rate of convergence of the Loewner driving function for planar loop-erased random walk to Brownian motion with speed 2 on the unit circle, the Loewner driving function for radial SLE(2). The proof uses a new estimate of the…
We apply the method of correlation functions to the coefficient problem in stochastic geometry. In particular, we give a proof for some universal patterns conjectured by M. Zinsmeister for the second moments of the Taylor coefficients for…
The recent availability of large databases allows to study macroscopic properties of many complex systems. However, inferring a model from a fit of empirical data without any knowledge of the dynamics might lead to erroneous interpretations…
The paper is devoted to the study of nonlinear stochastic Schr\"{o}dinger equations driven by standard cylindrical Brownian motions (NSSEs) arising from the unraveling of quantum master equations. Under the Born--Markov approximations, this…
We consider high frequency samples from ergodic L\'evy driven stochastic differential equation (SDE) with drift coefficient $a(x,\alpha)$ and scale coefficient $c(x,\gamma)$ involving unknown parameters $\alpha$ and $\gamma$. We suppose…
We consider stochastic systems involving general -- non-Gaussian and asymmetric -- stable processes. The random quantities, either a stochastic force or a waiting time in a random walk process, explicitly depend on the position. A…
The uniform spanning tree (UST) and the loop-erased random walk (LERW) are related probabilistic processes. We consider the limits of these models on a fine grid in the plane, as the mesh goes to zero. Although the existence of scaling…
Scaling properties of time series are usually studied in terms of the scaling laws of empirical moments, which are the time average estimates of moments of the dynamic variable. Nonlinearities in the scaling function of empirical moments…
We construct a general stochastic process and prove weak convergence results. It is scaled in space and through the parameters of its distribution. We show that our simplified scaling is equivalent to time scaling used frequently. The…