Related papers: Some explicit Krein representations of certain sub…
A family of reflected Brownian motions is used to construct Dyson's process of non-colliding Brownian motions. A number of explicit formulae are given, including one for the distribution of a family of coalescing Brownian motions.
Approximations of fractional Brownian motion using Poisson processes whose parameter sets have the same dimensions as the approximated processes have been studied in the literature. In this paper, a special approximation to the…
In this note the Chernoff Theorem is used to approximate evolution semigroups constructed by the procedure of subordination. The considered semigroups are subordinate to some original, unknown explicitly but already approximated by the same…
Different change-point type models encountered in statistical inference for stochastic processes give rise to different limiting likelihood ratio processes. In a previous paper of one of the authors it was established that one of these…
We prove large deviation principles for $\int_0^t \gamma(X_s)ds$, where $X$ is a $d$-dimensional self-similar Gaussian process and $\gamma(x)$ takes the form of the Dirac delta function $\delta(x)$, $|x|^{-\beta}$ with $\beta\in (0,d)$, or…
Using Stein's method and the Malliavin calculus of variations, we derive explicit estimates for the Gamma approximation of functionals of a Poisson measure. In particular, conditions are presented under which the distribution of a sequence…
We consider time-changed Poisson processes, and derive the governing difference-differential equations (DDE) these processes. In particular, we consider the time-changed Poisson processes where the the time-change is inverse Gaussian, or…
We construct higher order spectral shift functions, extending the perturbation theory results of M. G. Krein and L. S. Koplienko on representations for the remainders of the first and second order Taylor-type approximations of operator…
The derivation of the boson representation of spin operators is given which reproduces the Holstein-Primakoff and Dyson-Maleev transformations in the corresponding cases. The suggested formalism allows to address some subtle issues which…
The purpose of this work is to construct a {\it Brownian motion} with values in simplicial complexes with piecewise differential structure. In order to state and prove the existence of such Brownian motion, we define a family of continuous…
We derive product and series representations of the gamma function using Newton interpolation series. Using these identities, a new formula for the coefficients in the Taylor series of the reciprocal gamma function is found. We also find…
We consider simulation of spatially one-dimensional space-time fractional diffusion. Whereas in an earlier paper of ours we have developed the basic theory of what we call parametric subordination via three-fold splitting applied to…
Extension of two known facts concerning subordination is made. The first fact is that, in subordination of 1-dimensional Brownian motion with drift, selfdecomposability is inherited from subordinator to subordinated. This is extended to…
The two-parameter Poisson--Dirichlet distribution is a probability distribution on the totality of positive decreasing sequences with sum 1 and hence considered to govern masses of a random discrete distribution. A characterization of the…
On the basis of integral representations of Poisson and binomial distribution functions via complete and incomplete Euler \Gamma- and B-functions, we introduce and discuss continuous counterparts of the Poisson and binomial distributions.…
We are interested in the differential equations satisfied by the density of the Geometric Stable processes $\mathcal{G}_{\alpha}^{\beta}=\left\{\mathcal{G}_{\alpha}^{\beta}(t);t\geq 0\right\} $, with stability \ index $% \alpha \in (0,2]$…
Two representations of the extended gamma functions $\Gamma^{2,0}_{0,2}[(b,x)]$ are proved. These representations are exploited to find a transformation relation between two Fox's $H$-functions. These results are used to solve Fox's…
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…
In the paper we consider models of generalized counting processes time-changed by a general inverse subordinator, we characterize their distributions and present governing equations for them. The equations are given in terms of the…
We prove that the Drinfeld generators of grt_1(k) span the image of this Lie algebra in the abelianization of the commutator of the free Lie algebra with two generators. We show that this result implies Gamma-function formulas for arbitrary…