Related papers: Exponential functionals of Levy processes

With a view to computing fluctuation identities related to stable processes, we review and extend the class of hypergeometric L\'evy processes explored in Kuznetsov and Pardo (arXiv:1012.0817). We give the Wiener-Hopf factorisation of a…

We establish the comparison principle and the existence of solutions of the integro-differential equations with L{\'e}vy operators. The L{\'e}vy operators of our interest are infinitesmal generator of the jump processes which could be…

The existence-uniqueness theory for solutions to stochastic dynamic systems is always a significant theme and has received a huge attention. The objective of this article is to study the mentioned theory for stochastic functional…

In this paper, we study the existence of the transition densities of one-dimensional L\'evy processes. Compared with past results, our results contain the L\'evy processes whose L\'evy symbols have logarithm behavior at infinity. Our…

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…

Finite dimensional subspaces spanned by exponential functions in the space of square integrable functions on a finite interval of the real line are considered. Their limiting positions are studied and described in terms of expo-polynomials.

For a given L\'{e}vy process $X=(X_t)_{t\in\mathbb{R}_+}$ and for fixed $s\in \mathbb{R}_{+}\cup\{\infty\}$ and $t\in\mathbb{R}_+$ we analyse the {\it future drawdown extremes} that are defined as follows: \begin{eqnarray*} \overline…

We obtain sufficient conditions for an exponential type entire function not to have zeros in the open lower half-plane. An exact inequality containing the real and imaginary parts of such functions and their derivatives restricted to the…

Transcendental functions, such as exponentials and logarithms, appear in a broad array of computational domains: from simulations in curvilinear coordinates, to interpolation, to machine learning. Unfortunately they are typically expensive…

In this paper, conditions for transience, recurrence, ergodicity and strong, subexponential (polynomial) and exponential ergodicity of a class of Feller processes are derived. The conditions are given in terms of the coefficients of the…

We show on- and off-diagonal upper estimates for the transition densities of symmetric Levy and Levy-type processes. To get the an-diagonal estimates we prove a Nash type inequality for the related Dirichlet form. For the off-diagonal…

We obtain the asymptotic expansion of the Voigt functions $K(x,y)$ and $L(x,y)$ for large (real) values of the variables $x$ and $y$, paying particular attention to the exponentially small contributions. A Stokes phenomenon is encountered…

We consider the problem of valuation of American options written on dividend-paying assets whose price dynamics follows a multidimensional exponential Levy model. We carefully examine the relation between the option prices, related partial…

We present an existence result for L\'evy-type processes which requires only weak regularity assumptions on the symbol $q(x,\xi)$ with respect to the space variable $x$. Applications range from existence and uniqueness results for…

We show that the generating function corresponding to the sequence of denominators of the best rational approximants of a quadratic irrational is a rational function with integer coefficients. Consequently we can compute the L\'evy constant…

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…

The paper deals with the determination of integral functional quality for control system of generalized linear dynamic object with exponential activation function by solving the inverse problem of dynamic programming. The obtained…

Levy flights and subdiffusive processes and their properties are discussed. We derive the space- and time-fractional transport equations, and consider their solutions in external potentials. An extensive list of references is included.

Let $X$ be a real L\'evy process and let $\Xpos $ be the process conditioned to stay positive. We assume that $ 0 $ is regular for $(-\infty, 0)$ and $(0, +\infty) $ with respect to $X$. Using elementary excursion theory arguments, we…

We derive explicitly the coupling property for the transition semigroup of a L\'{e}vy process and gradient estimates for the associated semigroup of transition operators. This is based on the asymptotic behaviour of the symbol or the…