Related papers: Exponential functionals of Levy processes

There is an abundance of useful fluctuation identities for one-sided L\'evy processes observed up to an independent exponentially distributed time horizon. We show that all the fundamental formulas generalize to time horizons having matrix…

This short report details the mathematical properties of the stretched exponential function and some of its applications in materials science. G(tau) distributions for different values of the stretching parameter beta are provided.

We introduce a set of special functions called multiple polyexponential integrals, defined as iterated integrals of the exponential integral $\text{Ei}(z)$. These functions arise in certain perturbative expansions of the local solutions of…

We provide a novel expression of the scale function for a L\'evy processes with negative phase-type jumps. It is in terms of a certain transition rate matrix which is explicit up to a single positive number. A monotone iterative scheme for…

In this article we study a class of stochastic functional differential equations driven by L\'{e}vy processes (in particular, $\alpha$-stable processes), and obtain the existence and uniqueness of Markov solutions in small time intervals.…

Extending It\^o's formula to non-smooth functions is important both in theory and applications. One of the fairly general extensions of the formula, known as Meyer-It\^o, applies to one dimensional semimartingales and convex functions.…

We review the probabilistic properties of Ornstein-Uhlenbeck processes in Hilbert spaces driven by L\'{e}vy processes. The emphasis is on the different contexts in which these processes arise, such as stochastic partial differential…

We obtain general lower estimates of transition densities of jump L\'evy processes. We use them for processes with L\'evy measures having bounded support, processes with exponentially decaying L\'evy measures for large times and for…

We present a new approach to exponential functions on time scales and to timescale analogues of ordinary differential equations. We describe in detail the Cayley-exponential function and associated trigonometric and hyperbolic functions. We…

We prove that the upward ladder height subordinator $H$ associated to a real valued L\'{e}vy process $\xi$ has Laplace exponent $\phi$ that varies regularly at $\infty$ (resp. at 0) if and only if the underlying L\'{e}vy process $\xi$…

Financial markets based on L\'evy processes are typically incomplete and option prices depend on risk attitudes of individual agents. In this context, the notion of utility indifference price has gained popularity in the academic circles.…

We present an alternative construction of the infinite dimensional It\^{o} integral with respect to a Hilbert space valued L\'{e}vy process. This approach is based on the well-known theory of real-valued stochastic integration, and the…

In the recent development in a various disciplines of physics, it is noted the need for including the deformed versions of the exponential functions. In this paper, we consider the deformations which have two purposes: to have them like…

In the present work, we introduce the Lambert-Tsallis Wq function. It is a generalization of the Lambert W function, that solves the equation Wq(x)expq(Wq(x)) = x, where expq(x) is the q-exponential used by Tsallis in nonextensive…

Let $X=(X_t)_{t\geq 0}$ be a one-dimensional L\'evy process such that each $X_t$ has a $C^1_b$-density w.r.t. Lebesgue measure and certain polynomial or exponential moments. We characterize all polynomially bounded functions…

This paper provides rate-efficient estimators of the volatility parameter in the presence of L\'{e}vy jumps

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^*=…

We prove gradient estimates for harmonic functions with respect to a $d$-dimensional unimodal pure-jump Levy process under some mild assumptions on the density of its Levy measure. These assumptions allow for a construction of an unimodal…

These lectures notes aim at introducing L\'{e}vy processes in an informal and intuitive way, accessible to non-specialists in the field. In the first part, we focus on the theory of L\'{e}vy processes. We analyze a `toy' example of a…

We consider some special classes of L\'evy processes with no gaussian component whose L\'evy measure is of the type $\pi(dx)=e^{\gamma x}\nu(e^x-1) dx$, where $\nu$ is the density of the stable L\'evy measure and $\gamma$ is a positive…