Related papers: Levy Processes, Generators

For a L\'evy process $\xi=(\xi_t)_{t\geq0}$ drifting to $-\infty$, we define the so-called exponential functional as follows \[{\rm{I}}_{\xi}=\int_0^{\infty}e^{\xi_t} dt.\] Under mild conditions on $\xi$, we show that the following…

Fractional generalizations of the Poisson process and branching Furry process are considered. The link between characteristics of the processes, fractional differential equations and Levy stable densities are discussed and used for…

By a symbolic method, we introduce multivariate Bernoulli and Euler polynomials as powers of polynomials whose coefficients involve multivariate L\'evy processes. Many properties of these polynomials are stated straightforwardly thanks to…

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…

Maximum likelihood estimation of a log-concave probability density is formulated as a convex optimization problem and shown to have an equivalent dual formulation as a constrained maximum Shannon entropy problem. Closely related maximum…

Dynamical semigroups have become the key structure for describing open system dynamics in all of physics. Bounded generators are known to be of a standard form, due to Gorini, Kossakowski, Sudarshan and Lindblad. This form is often used…

Generalizing Kyprianou--Loeffen's refracted L\'evy processes, we define a new refracted L\'evy process which is a Markov process whose positive and negative motions are L\'evy processes different from each other. To construct it we utilize…

The notion of the H\"older convolution is introduced. The main result is that, under general conditions on functions L_1, ..., L_n, the function inverse to the Legendre--Fenchel transform of the H\"older convolution of L_1, ..., L_n…

For any 0 < alpha <2, a truncated symmetric alpha-stable process is a symmetric Levy process in R^d with a Levy density given by c|x|^{-d-alpha} 1_{|x|< 1} for some constant c. In this paper we study the potential theory of truncated…

Additive processes are obtained from L\'{e}vy ones by relaxing the condition of stationary increments, hence they are spatially (but not temporally) homogeneous. By analogy with the case of time-homogeneous Markov processes, one can define…

Gaussian processes retain the linear model either as a special case, or in the limit. We show how this relationship can be exploited when the data are at least partially linear. However from the perspective of the Bayesian posterior, the…

Gaussian process models are flexible, Bayesian non-parametric approaches to regression. Properties of multivariate Gaussians mean that they can be combined linearly in the manner of additive models and via a link function (like in…

We consider a general d-dimensional Levy-type process with killing. Combining the classical Dyson series approach with a novel polynomial expansion of the generator A(t) of the Levy-type process, we derive a family of asymptotic…

The theory of sparse stochastic processes offers a broad class of statistical models to study signals. In this framework, signals are represented as realizations of random processes that are solution of linear stochastic differential…

We show that the weak infinitesimal generator of a class of Markov processes acts on bounded continuous functions with bounded continuous second derivative as a singular integral with respect to the orthogonality measure of the explicit…

We present a satisfactory definition of the important class of L\'evy processes indexed by a general collection of sets. We use a new definition for increment stationarity of set-indexed processes to obtain different characterizations of…

This article focuses on properties of monotone convolutions. A criterion for infinite divisibility and time evolution of convolution semigroups are mainly studied. In particular, we clarify that many analogues of the classical results of…

We give conditions under which the tail probability of the supremum over unit interval of a Levy process with light tail is equivalent to the tail of the value of the process at the right endpoint.

There exist only a few known examples of subordinators for which the transition probability density can be computed explicitly along side an expression for its L\'evy measure and Laplace exponent. Such examples are useful in several areas…

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…