Related papers: Levy Processes: Hitting time, overshoot and unders…

Let $Z=(Z_t)_{t\geq0}$ be an additive process with a bounded triplet $(0,0,\Lambda_t)_{t\geq0}$. Suppose that for any Schwartz function $\varphi$ on $\mathbb{R}^d$ whose Fourier transform is in $C_c^{\infty}(B_{c_s} \setminus B_{c_s^{-1}}…

In this note we prove some sufficient conditions for ergodicity of a Levy-type process, such that on the test functions the generator of the respective semigroup is of the form $$ Lf(x) = a(x)f'(x) + \int_{\mathbb{R}}{ \left( f(x+u)-f(x)-…

For a one-dimensional L\'{e}vy process, we derive an explicit formula for the probability of first hitting a specified point among a fixed finite set. Moreover, using this formula, we obtain an explicit expression for each entry of the…

We find necessary and sufficient conditions for almost sure finiteness of integral functionals of spectrally positive L\'evy processes. Via Lamperti type transforms, these results can be applied to obtain new integral tests on extinction…

We study recurrence and transience for L\'{e}vy processes induced by topological transformation groups. In particular the transience-recurrence dichotomy in terms of potential measures is established and transience is shown to be equivalent…

Consider a one dimensional critical branching L\'{e}vy process $((Z_t)_{t\geq 0}, \mathbb {P}_x)$. Assume that the offspring distribution either has finite second moment or belongs to the domain of attraction to some $\alpha$-stable…

Our first result concerns a characterisation by means of a functional equation of Poisson point processes conditioned by the value of their first moment. It leads to a generalised version of Mecke's formula. En passant, it also allows to…

Given a sequence $T=(T_i)_{i\geq1}$ of nonnegative random variables, a function f on the positive halfline can be transformed to $\mathbb{E}\prod_{i\geq1}f(tT_i)$. We study the fixed points of this transform within the class of decreasing…

Given a second order parabolic operator $$ Lu(t,x) :=\frac{\partial u(t,x)}{\partial t} + a^{ij}(t,x)\partial_{x_i}\partial_{x_j}u(t,x) + b^i(t,x)\partial_{x_i}u(t,x), $$ we consider the weak parabolic equation $L^{*}\mu=0$ for Borel…

In this article we introduce a finite difference approximation for integro-differential operators of L\'evy type. We approximate solutions of integro-differential equations, where the second order operator is allowed to degenerate. In the…

We consider the equation \begin{equation} -y''(x)+q(x)y(x)=f(x),\quad x\in \mathbb R \end{equation} where $ f \in L_p^{loc}(\mathbb R),$ $p \in [1,\infty) $ and $ 0 < q \in L_1^{loc}(\mathbb R).$ By a solution of this equation we mean any…

We develop new representations for the Levy measures of the beta and gamma processes. These representations are manifested in terms of an infinite sum of well-behaved (proper) beta and gamma distributions. Further, we demonstrate how these…

For refracted spectrally negative L\'evy processes, we identify expressions of several quantities related to Laplace transforms on their weighted occupation times until first exit times. Such quantities are expressed in terms of unique…

We study the exit time $\tau=\tau_{(0,\infty)}$ for 1-dimensional strictly stable processes and express its Laplace transform at $t^\alpha$ as the Laplace transform of a positive random variable with explicit density. Consequently, $\tau$…

Let $\mathcal{L}\{f(t)\} = \int_{0}^{\infty}e^{-st}f(t)dt$ denote the Laplace transform of $f$. It is well-known that if $f(t)$ is a piecewise continuous function on the interval $t:[0,\infty)$ and of exponential order for $t > N$; then…

Let $(W,H,\mu)$ be the classical Wiener space where $H$ is the Cameron-Martin space which consists of the primitives of the elements of $L^2([0,1],\,dt)\otimes \R^d$, we denote by $L^2_a(\mu,H)$ the equivalence classes w.r.t. $dt\times…

We present an efficient and very flexible numerical fast Fourier-Laplace transform, that extends the logarithmic Fourier transform (LFT) introduced by Haines and Jones [Geophys. J. Int. 92(1):171 (1988)] for functions varying over many…

In this paper we study a spectrally negative L\'evy process which is refracted at its running maximum and at the same time reflected from below at a certain level. Such a process can for instance be used to model an insurance surplus…

Let $X(\cdot)$ be a non-degenerate, positive recurrent one-dimensional diffusion process on $\mathbb{R}$ with invariant probability density $\mu(x)$, and let $\tau_y=\inf\{t\ge0: X(t)=y\}$ denote the first hitting time of $y$. Let…

Small-space and large-time estimates and asymptotic expansion of the distribution function and (the derivatives of) the density function of hitting times of points for symmetric L\'evy processes are studied. The L\'evy measure is assumed to…