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

The paper is devoted to the study of the short rate equation of the form $$ dR(t)=F(R(t)) dt +\sum_{i=1}^{d}G(R(t-))dZ_i(t)$$ with deterministic functions $F,G_1,...,G_d$ and a multivariate L\'evy process $Z=(Z_1,...,Z_d)$ with possibly…

The problem of calculating the Mittag-Leffler function $E_{\rho,\mu} (z)$ is considered in the paper. To solve this problem integral representations for the function $E_{\rho,\mu}(z)$ are transformed in such a way that they could not…

Let $\mathbb{X}=(\mathbb{X}_t)_{t\geq 0}$ be the subdiffusive process defined, for any $t\geq 0$, by $ \mathbb{X}_t = X_{\ell_t}$ where $X=(X_t)_{t\geq 0}$ is a L\'evy process and $\ell_t=\inf \{s>0;\: \mathcal{K}_s>t \}$ with…

Let $X_t$ be any additive process in $\mathbb{R}^d.$ There are finite indices $\delta_i, \beta_i, i=1,2$ and a function $u$, all of which are defined in terms of the characteristics of $X_t$, such that \liminf_{t\to0}u(t)^{-1/\eta}X_t^*=…

In this paper we consider weak Harnack inequality and H\"older regularity estimates for symmetric $\alpha$-stable L\'evy process in $\mathbb{R}^d$, $\alpha \in (0,2)$, $d\geq 2$. We consider a symmetric $\alpha$-stable L\'evy process $X$…

The lepton flavour violating (LFV) $\tau$ decays $\tau\to (e,\mu)\gamma$ and $\tau\to 3\mu$ are investigated in the frameworks of the TeV scale type I see-saw and Higgs Triplet (or type II see-saw) models. Predictions for the rates of these…

Let $n\geq 1,0<\rho<1, \max\{\rho,1-\rho\}\leq \delta\leq 1$ and $$m_1=\rho-n+(n-1)\min\{\frac 12,\rho\}+\frac {1-\delta}{2}.$$ If the amplitude $a$ belongs to the H\"{o}rmander class $S^{m_1}_{\rho,\delta}$ and $\phi\in \Phi^{2}$ satisfies…

This note provides an effective bound in the Gauss-Kuzmin-L\'evy problem for some Gauss type shifts associated with nearest integer continued fractions, acting on the interval $I_0=[0,\frac{1}{2}]$ or $I_0=[-\frac{1}{2},\frac{1}{2}]$. We…

We provide the increasing eigenfunctions associated to spectrally negative self-similar Feller semigroups, which have been introduced by Lamperti. These eigenfunctions are expressed in terms of a new family of power series which includes,…

Suppose $D$ is a suitably admissible compact subset of $\mathbb{R}^k$ having a smooth boundary with possible zones of zero curvature. Let \mbox{$R(T,\theta,x)= N(T,\theta,x) - T^{k}\mathrm{vol}(D)$,} where $N(T,\theta,x)$ is the number of…

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 this paper we study the supremum functional $M_t=\sup_{0\le s\le t}X_s$, where $X_t$, $t\ge0$, is a one-dimensional L\'{e}vy process. Under very mild assumptions we provide a simple, uniform estimate of the cumulative distribution…

Levy processes, which have stationary independent increments, are ideal for modelling the various types of noise that can arise in communication channels. If a Levy process admits exponential moments, then there exists a parametric family…

In this paper approximation methods for infinite-dimensional Levy processes, also called (time-dependent) Levy fields, are introduced. For square integrable fields beyond the Gaussian case, it is no longer given that the one-dimensional…

In this paper we study the domain of stable processes, stable-like processes and more general pseudo- and integro-differential operators which naturally arise both in analysis and as infinitesimal generators of L\'evy- and L\'evy-type…

We recall four open problems concerning constructing high-order matrix-exponential approximations for the infimum of a spectrally negative Levy process (with applications to first-passage/ruin probabilities, the waiting time distribution in…

If $f(x,y)$ is a real function satisfying $y>0$ and $\sum_{r=0}^{n-1}f(x+ry,ny)=f(x,y)$ for $n=1,2,3,\ldots$, we say that $f(x,y)$ is an invariant function. Many special functions including Bernoulli polynomials, Gamma function and Hurwitz…

We consider the exponential functional $A_{\infty}=\int_0^{\infty} e^{\xi_s} ds$ associated to a Levy process $(\xi_t)_{t \geq 0}$. We find the asymptotic behavior of the tail of this random variable, under some assumptions on the process…

In this paper, we shall introduce the Tanaka formula from viewpoint of the Doob-Meyer decomposition. For symmetric L\'evy processes, if the local time exists, Salminen and Yor (2007) obtained the Tanaka formula by using the potential…

Let $\mu_{\lambda}$ be the Bernoulli convolution measure with parameter $\lambda\in(0,1)$. We study the regularity of the function %We prove that $h=h_{\phi}:\lambda\mapsto \int_{\mathbb{R}}\phi(x)\,d\mu_{\lambda}(x)$ for H\"older…