相关论文: A new approach to fluctuations of reflected L\'{e}…
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…
We analyze the fluctuation of the loss from default around its large portfolio limit in a class of reduced-form models of correlated firm-by-firm default timing. We prove a weak convergence result for the fluctuation process and use it for…
The characteristic measure of excursions away from a regular point is studied for a class of symmetric L\'evy processes without Gaussian part. It is proved that the harmonic transform of the killed process enjoys Feller property. The result…
The crossover among two or more types of diffusive processes represents a vibrant theme in nonequilibrium statistical physics. In this work we propose two models to generate crossovers among different L\'evy processes: in the first model we…
We study L\'{e}vy-like and truncated L\'{e}vy-like flights with step probability distribution of the form $r^{-1+\nu}$ for negative, positive, and zero $\nu$, focusing on the appearance of fractal geometry characteristics in the generated…
We determine the rate of decrease of the right tail distribution of the exponential functional of a Levy process with a convolution equivalent Levy measure. Our main result establishes that it decreases as the right tail of the image under…
For a refracted spectrally negative Levy process, we find some new and fantastic formulas for its q-potential measures without killing. Unlike previous results, which are written in terms of the known q-scale functions, our formulas are…
We discuss how the different estimates of elliptic flow are influenced by flow fluctuations and nonflow effects. It is explained why the event-plane method yields estimates between the two-particle correlation methods and the multiparticle…
Properties of random and fluctuating systems are often studied through the use of Gaussian distributions. However, in a number of situations, rare events have drastic consequences, which can not be explained by Gaussian statistics.…
Existing results for the estimation of the L\'evy measure are mostly limited to the onedimensional setting. We apply the spectral method to multidimensional L\'evy processes in order to construct a nonparametric estimator for the…
A signal processing method designed for the detection of linear (coherent) behaviors among random fluctuations is presented. It is dedicated to the study of data recorded from nonlinear physical systems. More precisely the method is suited…
New aspects of turbulence are uncovered if one considers flow motion from the perspective of a fluid particle (known as the Lagrangian approach) rather than in terms of a velocity field (the Eulerian viewpoint). Using a new experimental…
Levy flights and subdiffusive processes and their properties are discussed. We derive the space- and time-fractional transport equations, and consider their solutions in external potentials. An extensive list of references is included.
In this paper, we study the L\'evy process time-changed by independent L\'evy subordinators, namely, the incomplete gamma subordinator, the $\epsilon$-jumps incomplete gamma subordinator and tempered incomplete gamma subordinator. We derive…
A L\'evy processes resurrected in the positive half-line is a Markov process obtained by removing successively all jumps that make it negative. A natural question, given this construction, is whether the resulting process is absorbed at 0…
We construct optimal Markov couplings of L\'{e}vy processes, whose L\'evy (jump) measure has an absolutely continuous component. The construction is based on properties of subordinate Brownian motions and the coupling of Brownian motions by…
We prove fluctuation bounds for the particle current in totally asymmetric zero range processes in one dimension with nondecreasing, concave jump rates whose slope decays exponentially. Fluctuations in the characteristic directions have…
Exploiting previous results on Markovian dynamics and fluctuation theorems, we study the consequences of memory effects on single realizations of nonequilibrium processes within an open system approach. The entropy production along single…
This article is concerned with the fluctuation analysis and the stability properties of a class of one-dimensional Riccati diffusions. These one-dimensional stochastic differential equations exhibit a quadratic drift function and a…
In this study, we rederive the fluctuation theorems in presence of feedback, by assuming the known Jarzynski equality and detailed fluctuation theorems. We first reproduce the already known work theorems for a classical system, and then…