相关论文: (Non)Differentiability and Asymptotics for Potenti…

In this article densities (and their derivatives) of subordinators and inverse subordinators are considered. Under minor restrictions, generally milder than the existing in the literature, using a useful modification of the saddle point…

In this paper we derive non-classical Tauberian asymptotic at infinity for the tail, the density and the derivatives thereof of a large class of exponential functionals of subordinators. More precisely, we consider the case when the L\'evy…

We provide exact large-time equivalents of the density and upper tail distributions of the exponential functional of a subordinator in terms of its Laplace exponents. This improves previous results on the logarithmic asymptotic behaviour of…

In this paper, we discuss estimates on transition densities for subordinators, which are global in time. We establish the sharp two-sided estimates on the transition densities for subordinators whose L\'evy measures are absolutely…

In this paper, we study nonparametric estimation of the L\'{e}vy density for L\'{e}vy processes, with and without Brownian component. For this, we consider $n$ discrete time observations with step $\Delta$. The asymptotic framework is: $n$…

In this article, the infinite series form of the probability densities of tempered stable and inverse tempered stable subordinators are obtained using Mellin transform. Further, the densities of the products and quotients of stable and…

In this paper, we study the existence of the density associated to the exponential functional of the L\'evy process $\xi$, \[ I_{\ee_q}:=\int_0^{\ee_q} e^{\xi_s} \, \mathrm{d}s, \] where $\ee_q$ is an independent exponential r.v. with…

In this article, we study the potential theory of normal tempered stable process which is obtained by time-changing the Brownian motion with a tempered stable subordinator. Precisely, we study the asymptotic behavior of potential density…

We determine the asymptotic behavior of the realized power variations, or more generally of sums of a given test function evaluated at the successive increments of a L\'{e}vy process. One can completely elucidate the first order behavior…

For arbitrary Borel probability measures on the real line, necessary and sufficient conditions are presented that characterize best purely atomic approximations relative to the classical Levy probability metric, given any number of atoms,…

The paper develops new methods of non-parametric estimation a compound Poisson distribution. Such a problem arise, in particular, in the inference of a Levy process recorded at equidistant time intervals. Our key estimator is based on…

We show the equivalence of three properties for an infinitely divisible distribution: the subexponentiality of the density, the subexponentiality of the density of its L\'evy measure and the tail equivalence between the density and its…

It is known that the exponential functional of a Poisson process admits a probability density function in the form of an infinite series. In this paper, we obtain an explicit expression for the density function of the exponential functional…

For manifolds with a distinguished asymptotically flat end, we prove a density theorem which produces harmonic asymptotics on the distinguished end, while allowing for points of incompleteness (or negative scalar curvature) away from this…

Several measures of non-convexity (departures from convexity) have been introduced in the literature, both for sets and functions. Some of them are of geometric nature, while others are more of topological nature. We address the statistical…

We establish explicit quenched asymptotics for pure-jump symmetric L\'evy processes in general Poissonian potentials, which is closely related to large time asymptotic behavior of solutions to the nonlocal parabolic Anderson problem with…

We consider the so-called Dickman subordinator, whose Levy measure has density 1/x restricted to the interval (0,1). The marginal density of this process, known as the Dickman function, appears in many areas of mathematics, from number…

We prove asymptotic behaviour of transition density for a large class of spectrally one-sided L\'evy processes of unbounded variation satisfying mild condition imposed on the second derivative of the Laplace exponent, or equivalently, on…

We will deal with finitely additive measures on integers extending the asymptotic density. We will study their relation to the L\'evy group $\mathcal{G}$ of permutations of $\mathbb N$. Using a new characterization of the L\'evy group…

We propose non-asymptotic controls of the cumulative distribution function $P(|X_{t}|\ge \varepsilon)$, for any $t>0$, $\varepsilon>0$ and any L\'evy process $X$ such that its L\'evy density is bounded from above by the density of an…