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We investigate the distributional properties of two generalized Ornstein-Uhlenbeck (OU) processes whose stationary distributions are the gamma law and the bilateral gamma law, respectively. The said distributions turn out to be related to…

We are interested in the law of the first passage time of an Ornstein-Uhlenbeck process to time-varying thresholds. We show that this problem is connected to the laws of the first passage time of the process to members of a two-parameter…

For an arbitrary Hilbert space-valued Ornstein-Uhlenbeck process we construct the Ornstein-Uhlenbeck Bridge connecting a starting point $x$ and an endpoint $y$ that belongs to a certain linear subspace of full measure. We derive also a…

We consider Ornstein-Uhlenbeck processes (OU-processes) associated to hypoelliptic diffusion processes on finite-dimensional Lie groups: let $ \mathcal{L} $ be a hypoelliptic, left-invariant ``sum of the squares''-operator on a Lie group $…

Let $A$ be the generator of a strongly continuous cosine family $(\cos (tA))_{t\in {\bf R}}$ on a complex Banach space $E$. The paper develops an operational calculus for integral transforms and functions of $A$ using the generalized…

We investigate a class of spectral multipliers for an Ornstein-Uhlenbeck operator $\mathcal L$ in $\mathbb R^n$, with drift given by a real matrix $B$ whose eigenvalues have negative real parts. We prove that if $m$ is a function of Laplace…

In solving $q$-difference equations, and in the definition of $q$-special functions, we encounter formal power series in which the $n$th coefficient is of size $q^{-\binom{n}{2}}$ with $q\in(0,1)$ fixed. To make sense of these formal…

We characterize of the $q$-Bernstein functions in terms of $q$-Laplace transform. Moreover, we present several results of $q$-completely monotonic, $q$-log completely monotonic and $q$-Bernstein functions.

We consider the Fourier-Laplace transforms of a broad class of polynomial Ornstein-Uhlenbeck (OU) volatility models, including the well-known Stein-Stein, Sch\"obel-Zhu, one-factor Bergomi, and the recently introduced Quintic OU models…

We study functions of bounded variation (and sets of finite perimeter) on a convex open set $\Omega\subseteq X$, $X$ being an infinite dimensional real Hilbert space. We relate the total variation of such functions, defined through an…

Let (H_t) be the Ornstein-Uhlenbeck semigroup on R^d with covariance matrix I and drift matrix \lambda(R-I), where \lambda>0 and R is a skew-adjoint matrix and denote by \gamma_\infty the invariant measure for (H_t). Semigroups of this form…

We consider the infinite-dimensional Lie group $\mathfrak G$ which is the semidirect product of the group of compactly supported diffeomorphisms of a Riemannian manifold $X$ and the commutative multiplicative group of functions on $X$. The…

We study the spectral expansion of the semigroup of a general stable process killed on the first exit from the positive half-line. Starting with the Wiener-Hopf factorization we obtain the q-resolvent density for the killed process, from…

We introduce and analyse a general class of not necessarily bounded multiplicative functions, examples of which include the function $n \mapsto \delta^{\omega (n)}$, where $\delta \neq 0$ and where $\omega$ counts the number of distinct…

The article is devoted to holomorphic and meromorphic functions of quaternion and octonion variables. New classes of quasi-conformal and quasi-meromorphic mappings are defined and investigated. Properties of such functions such as their…

In this paper we establish $L^p(\mathbb{R}^d,\gamma_\infty)$-boundedness properties for square functions involving time and spatial derivatives of Ornstein-Uhlenbeck semigroups. Here $\gamma_\infty$ denotes the invariant measure. In order…

We consider a sequence of fractional Ornstein-Uhlenbeck processes, that are defined as solutions of a family of stochastic Volterra equations with kernel given by the Riesz derivative kernel, and leading coefficients given by a sequence of…

We consider non-local Ornstein-Uhlenbeck (OU) operators that correspond to Ornstein-Uhlenbeck processes driven by L\'evy processes. These are ergodic Markov processes and the OU operator is in general non-normal in the $L^2$ space weighted…

An operator theoretic approach to invariant integration theory on non-compact quantum spaces is introduced on the example of the quantum (n,1)-matrix ball O_q(Mat_{n,1}). In order to prove the existence of an invariant integral, operator…

From a suitable integral representation of the Laplace transform of a positive semi-definite quadratic form of independent real random variables with not necessarily identical densities a univariate integral representation is derived for…