Related papers: L\'evy processes and Fourier multipliers
The aim of my PhD work is to study the $L^p$-boundedness of operators on two classes of two-step nilpotent Lie groups, using Plancherel formulas and spherical functions as tools. The first class of groups consists of the groups of…
We introduce an algorithm for the pricing of finite expiry American options driven by L\'evy processes. The idea is to tweak Carr's `Canadisation' method, cf. Carr [9] (see also Bouchard et al [5]), in such a way that the adjusted algorithm…
We prove $L^p$ bounds in the range $1<p<\infty$ for a maximal dyadic sum operator on $\rn$. This maximal operator provides a discrete multidimensional model of Carleson's operator. Its boundedness is obtained by a simple twist of the proof…
Fractional Brownian motion can be represented as an integral of a deterministic kernel w.r.t. an ordinary Brownian motion either on infinite or compact interval. In previous literature fractional L\'evy processes are defined by integrating…
The main purpose of this paper is to prove H\"ormander's $L^p$-$L^q$ boundedness of Fourier multipliers on commutative hypergroups. We carry out this objective by establishing Paley inequality and Hausdorff-Young-Paley inequality for…
The index Whittaker convolution operator, recently introduced by the authors, gives rise to a convolution measure algebra having the property that the convolution of probability measures is a probability measure. In this paper, we introduce…
We prove limit theorems for cylindrical martingale problems associated to L\'evy generators. Furthermore, we give sufficient and necessary conditions for the Feller property of well-posed problems with continuous coefficients. We discuss…
We prove the $L^p$-boundedness for all $p \in (1,\infty)$ of the first-order Riesz transforms $X_j \mathcal{L}^{-1/2}$ associated with the Laplacian $\mathcal{L} = -\sum_{j=0}^n X_j^2$ on the $ax+b$-group $G = \mathbb{R}^n \rtimes…
In the present paper we obtain sufficient conditions for the existence of equivalent martingale measures for L\'{e}vy-driven moving averages and other non-Markovian jump processes. The conditions that we obtain are, under mild assumptions,…
A branching L\'evy process can be seen as the continuous-time version of a branching random walk. It describes a particle system on the real line in which particles move and reproduce independently in a Poissonian manner. Just as for L\'evy…
The Ionescu--Wainger multiplier theorem establishes good $L^p$ bounds for Fourier multiplier operators localized to major arcs; it has become an indispensible tool in discrete harmonic analysis. We give a simplified proof of this theorem…
The study of Fourier transforms of probability measures on fractal sets plays an important role in recent research. Faster decay rates are known to yield enhanced results in areas such as metric number theory. This paper focuses on…
We study Fourier multiplier operators associated with symbols $\xi\mapsto \exp(i\lambda\phi(\xi/|\xi|))$, where $\lambda$ is a real number and $\phi$ is a real-valued $C^\infty$ function on the standard unit sphere…
We prove endpoint-type sparse bounds for Walsh-Fourier Marcinkiewicz multipliers and Littlewood-Paley square functions. These results are motivated by conjectures of Lerner in the Fourier setting. As a corollary, we obtain novel…
The $L^p$ maximal inequalities for martingales are one of the classical results in the theory of stochastic processes. Here we establish the sharp moderate maximal inequalities for one-dimensional diffusion processes, which include the…
We consider different limit theorems for additive and multiplicative free L\'evy processes. The main results are concerned with positive and unitary multiplicative free L\'evy processes at small time, showing convergence to log free stable…
This chapter is an attempt to present a mathematical theory of compound fractional Poisson processes. The chapter begins with the characterization of a well-known L\'evy process: The compound Poisson process. The semi-Markov extension of…
In this paper we study the Wiener-Hopf factorization for a class of L\'evy processes with double-sided jumps, characterized by the fact that the density of the L\'evy measure is given by an infinite series of exponential functions with…
This paper investigates the relation between the Fourier transform of {\rm BV} (bounded variation) functions and their jump sets. We introduce the notion of $L^2$-jump product and obtain a weighted Plancherel identity for {\rm BV}…
In this paper we study processes which are constructed by a convolution of a deterministic kernel with a martingale. A special emphasis is put on the case where the driving martingale is a centred L\'evy process, which covers the popular…