Related papers: Fluctuations of Levy processes and scattering theo…
In this paper we consider storage and inventory systems. Our aim is to apply and review main results of the fluctuation theory of stochastic processes in the context of storage and inventory modeling. We describe systems where the inflow is…
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 study the influence of a dissipation process on diffusion dynamics triggered by fluctuations with long-range correlations. We make the assumption that the perturbation process involved is of the same kind as those recently studied…
We give an interpretation of the bilateral exit problem for L\'{e}vy processes via the study of an elementary Markov chain. We exhibit a strong connection between this problem and Krein's theory on strings. For instance, for symmetric…
We apply a particular form of the inverse scattering theory to turbulent magnetic fluctuations in a plasma. In the present note we develop the theory, formulate the magnetic fluctuation problem in terms of its electrodynamic turbulent…
We study a combination of the refracted and reflected L\'evy processes. Given a spectrally negative L\'evy process and two boundaries, it is reflected at the lower boundary while, whenever it is above the upper boundary, a linear drift at a…
The inverse scattering problem is studied for the matrix Sturm-Liouville equation on the line. Necessary and sufficient conditions for the scattering data are obtained.
The inversion of a Levy measure was first introduced (under a different name) in Sato 2007. We generalize the definition and give some properties. We then use inversions to derive a relationship between weak convergence of a Levy process to…
A new approach to solve the continuous-time stochastic inventory problem using the fluctuation theory of Levy processes is developed. This approach involves the recent developments of the scale function that is capable of expressing many…
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…
In these lectures I give an introduction to the time-dependent approach to inverse scattering, that has been developed recently. The aim of this approach is to solve various inverse scattering problems with time-dependent methods that…
For spectrally negative L\'evy processes, we prove several fluctuation results involving a general draw-down time, which is a downward exit time from a dynamic level that depends on the running maximum of the process. In particular, we find…
When light travels through strongly scattering media with optical gain, the synergy between diffusive transport and stimulated emission can lead to lasing action. Below the threshold pump power, the emission spectrum is smooth and…
This paper provides a framework for investigations in fluctuation theory for L\'evy processes with matrix-exponential jumps. We present a matrix form of the components of the infinitely divisible factorization. Using this representation we…
For a recurrent linear diffusion on $\R_+$ we study the asymptotics of the distribution of its local time at 0 as the time parameter tends to infinity. Under the assumption that the L\'evy measure of the inverse local time is subexponential…
A Levy walk is a non-Markovian stochastic process in which the elementary steps of the walker consist of motion with constant speed in randomly chosen directions and for a random period of time. The time of flight is chosen from a…
The L\'evy-Lorentz gas describes the motion of a particle on the real line in the presence of a random array of scattering points, whose distances between neighboring points are heavy-tailed i.i.d. random variables with finite mean. The…
In this study, the inverse problem of the scattering theory on the half line for a piecewise continuous Sturm-Liouville equation with boundary condition depending quadratic on the spectral parameter is considered. The scattering data of the…
Motivated by classical considerations from risk theory, we investigate boundary crossing problems for refracted L\'evy processes. The latter is a L\'evy process whose dynamics change by subtracting off a fixed linear drift (of suitable…
The probability distribution of the entropy production for the effusion of a relativistic ideal gas is calculated explicitly. This result is then extended to include particle and anti-particle pair production and annihilation. In both…