Related papers: Median, Concentration and Fluctuation for L\'evy P…

We prove concentration inequalities for $f\left( X\right) $ about its median, where $X$ is a random vector in $\mathbb{R}^n$ with independent heavy tailed coordinates of Weibull or power type, and $f:\mathbb{R}^n\rightarrow\mathbb{R}$ is a…

In this paper we study the problem of statistical inference for a continuous-time moving average L\'evy process of the form $$Z_{t} = \int_{\mathbb{R}}\mathcal{K}(t-s)\, dL_{s},\quad t\in\mathbb{R}$$ with a deterministic kernel (\K\) and a…

The linear fractional stable motion generalizes two prominent classes of stochastic processes, namely stable L\'evy processes, and fractional Brownian motion. For this reason it may be regarded as a basic building block for continuous time…

Concentration inequalities are fundamental tools in probabilistic combinatorics and theoretical computer science for proving that random functions are near their means. Of particular importance is the case where f(X) is a function of…

The problem of estimating the L\'evy density of a partially observed multidimensional affine process from low-frequency and mixed-frequency data is considered. The estimation methodology is based on the log-affine representation of the…

We consider a Hamiltonian lattice field model with two conserved quantities, energy and volume, perturbed by stochastic noise preserving the two previous quantities. It is known that this model displays anomalous diffusion of energy of…

We consider the passage time problem for L\'evy processes, emphasising heavy tailed cases. Results are obtained under quite mild assumptions, namely, drift to $-\infty$ a.s. of the process, possibly at a linear rate (the finite mean case),…

We consider a new method of the semiparametric statistical estimation for the continuous-time moving average L\'evy processes. We derive the convergence rates of the proposed estimators, and show that these rates are optimal in the minimax…

Given a suitably normalized $X\in\mathbb{R}^n$ we observe that the function $\theta\mapsto\mathbb{E}|X\cdot\theta|$, defined for $\theta\in S^{n-1}$, admits surprisingly strong concentration far surpassing what is expected on account of…

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…

Given a real valued and time-inhomogeneous martingale diffusion X, we investigate the properties of functions defined by the conditional expectation f(t,X_t)=E[g(X_T)|F_t]. We show that whenever g is monotonic or Lipschitz continuous then…

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…

In this article, we introduce Mittag-Leffler L\'evy process and provide two alternative representations of this process. First, in terms of Laplace transform of the marginal densities and next as a subordinated stochastic process. Both…

In this paper we present new theoretical results on optimal estimation of certain random quantities based on high frequency observations of a L\'evy process. More specifically, we investigate the asymptotic theory for the conditional mean…

We study fluctuations of mean-field interacting particle systems around their McKean--Vlasov limit. Our main result provides a uniform-in-time quantitative central limit theorem for the fluctuation process, with convergence rate of order…

We consider a symmetric matrix-valued Gaussian process $Y^{(n)}=(Y^{(n)}(t);t\ge0)$ and its empirical spectral measure process $\mu^{(n)}=(\mu_{t}^{(n)};t\ge0)$. Under some mild conditions on the covariance function of $Y^{(n)}$, we find an…

This paper presents a set of results relating to the occupation time $\alpha(t)$ of a process $X(\cdot)$. The first set of results concerns exact characterizations of $\alpha(t)$ for $t\geq0$, e.g., in terms of its transform up to an…

We establish distributional limit theorems for the shape statistics of a concave majorant (i.e. the fluctuations of its length, its supremum, the time it is attained and its value at $T$) of any L\'evy process on $[0,T]$ as $T\to\infty$.…

In this paper, we establish the existence of moments and moment estimates for L\'evy-type processes. We discuss whether the existence of moments is a time dependent distributional property, give sufficient conditions for the existence of…

We provide asymptotic results and develop high frequency statistical procedures for time-changed L\'evy processes sampled at random instants. The sampling times are given by first hitting times of symmetric barriers whose distance with…