相关论文: On the harmonic measure of stable processes

We investigate integral-geometric quantities arising from harmonic analysis which measure visibility and transversality. Motivated by their applications in multilinear Kakeya problems and affine-invariant measures on surfaces, we derive…

We propose a new method for the estimation of a semiparametric tempered stable L\'{e}vy model. The estimation procedure combines iteratively an approximate semiparametric method of moment estimator, Truncated Realized Quadratic Variations…

We consider a L\' evy process in $\R^d$ $ (d\geq 3)$ with the characteristic exponent \[ \Phi(\xi)=\frac{|\xi|^2}{\ln(1+|\xi|^2)}-1. \] The scale invariant Harnack inequality and apriori estimates of harmonic functions in H\" older spaces…

We give a second look at stationary stable processes by interpreting the self-similar property at the level of the L\'evy measure as characteristic of a Maharam system. This allows us to derive structural results and their ergodic…

Additive processes are obtained from L\'{e}vy ones by relaxing the condition of stationary increments, hence they are spatially (but not temporally) homogeneous. By analogy with the case of time-homogeneous Markov processes, one can define…

We suppose that a L\'evy process is observed at discrete time points. A rather general construction of minimum-distance estimators is shown to give consistent estimators of the L\'evy-Khinchine characteristics as the number of observations…

Observing prices of European put and call options, we calibrate exponential L\'evy models nonparametrically. We discuss the efficient implementation of the spectral estimation procedures for L\'evy models of finite jump activity as well as…

Motivated by applications to the study of depth functions for tree-indexed random variables generated by point processes, we describe functional limit theorems for the intensity measure of point processes. Specifically, we establish uniform…

Weighted mean value identities over balls are considered for harmonic functions and their derivatives. Logarithmic and other weights are involved in these identities for functions. Some applications of weighted identities are presented.…

The random integral mappings (some type of functionals of L\'evy processes) are continuous homomorphisms between convolution subsemigroups of the semigroup of all infinitely divisible measures. Compositions of those random integrals…

The evaluation of the path-integral representation for stochastic processes in the weak-noise limit shows that these systems are governed by a set of equations which are those of a classical dynamics. We show that, even when the noise is…

In this paper we consider the existence of weakly c\`adl\`ag versions of a solution to a linear equation in a Hilbert space $H$, driven by a Levy process taking values in a Hilbert space $U$. In particular we are interested in diagonal type…

For a random walk on the integer lattice $\mathbb{Z}$ that is attracted to a strictly stable process with index $\alpha\in (1, 2)$ we obtain the asymptotic form of the transition probability for the walk killed when it hits a finite set.…

We present necessary and sufficient conditions for the termination of linear homogeneous programs. We also develop a complete method to check termination for this class of programs. Our complete characterization of termination for such…

We prove the existence and uniqueness of a discrete nonnegative harmonic function for a random walk satisfying finite range, centering and ellipticity conditions, killed when leaving a globally Lipschitz domain in $\mathbb{Z}^d$. Our method…

We revisit the well-established regularity estimates on harmonic maps on surfaces to question their independence with respect to the dimension of the target manifold. We are mainly interested in harmonic maps into target ellipsoids, that we…

We prove regularity estimates for functions which are harmonic with respect to certain jump processes. The aim of this article is to extend the method of Bass-Levin[BL02] and Bogdan-Sztonyk[BS05] to more general processes. Furthermore, we…

With a view to computing fluctuation identities related to stable processes, we review and extend the class of hypergeometric L\'evy processes explored in Kuznetsov and Pardo (arXiv:1012.0817). We give the Wiener-Hopf factorisation of a…

We consider optimal stopping problems with finite-time horizon and state-dependent discounting. The underlying process is a one-dimensional linear diffusion and the gain function is time-homogeneous and difference of two convex functions.…

The hypergeometric function method naturally provides the analytic expressions of scalar integrals from concerned Feynman diagrams in some connected regions of independent kinematic variables, also presents the systems of homogeneous linear…