相关论文: Optimal uniform approximation of L\'evy processes …

We consider a class of L\'evy-type processes on which spectral analysis technics can be made to produce optimal results, in particular for the decay rate of their survival probability and for the spectral gap of their ground state…

In this article we introduce cylindrical fractional Brownian motions in Banach spaces and develop the related stochastic integration theory. Here a cylindrical fractional Brownian motion is understood in the classical framework of…

We study the potential theory of a large class of infinite dimensional L\'evy processes, including Brownian motion on abstract Wiener spaces. The key result is the construction of compact Lyapunov functions, i.e. excessive functions with…

We develop generic and efficient importance sampling estimators for Monte Carlo evaluation of prices of single- and multi-asset European and path-dependent options in asset price models driven by L\'evy processes, extending earlier works…

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: $n$…

It is well understood that, when numerically simulating SDEs with general noise, achieving a strong convergence rate better than $O(\sqrt{h})$ (where h is the step size) requires the use of certain iterated integrals of Brownian motion,…

In a high-frequency context, we investigate the efficient estimation of scaling and jump activity parameters for a stochastic differential equation driven by a L{\'e}vy process with both diffusion component and pure-jump component. We first…

Last passage times arise in a number of areas of applied probability, including risk theory and degradation models. Such times are obviously not stopping times since they depend on the whole path of the underlying process. We consider the…

We investigate the connections between the mean pathwise regularity of stochastic processes and their L^r(P)-functional quantization rates as random variables taking values in some L^p([0,T],dt)-spaces (0 < p <= r). Our main tool is the…

We obtain the decay bounds for Chebyshev series coefficients of functions with finite Vitali variation on the unit square. A generalization of the well known identity, which relates exact and approximated coefficients, obtained using the…

Assume that $X$ is a continuous square integrable process with zero mean, defined on some probability space $(\Omega,\mathrm {F},\mathrm {P})$. The classical characterization due to P. L\'{e}vy says that $X$ is a Brownian motion if and only…

Limit theorems for the normalized laws with respect to two kinds of weight functionals are studied for any symmetric stable L\'evy process of index $ 1 < \alpha \le 2 $. The first kind is a function of the local time at the origin, and the…

We introduce two general non-parametric methods for recovering paths of the Brownian and jump components from high-frequency observations of a L\'evy process. The first procedure relies on reordering of independently sampled normal…

We prove gradient estimates for harmonic functions with respect to a $d$-dimensional unimodal pure-jump Levy process under some mild assumptions on the density of its Levy measure. These assumptions allow for a construction of an unimodal…

In this paper we study the existence of a unique solution for linear stochastic differential equations driven by a L\'evy process, where the initial condition and the coefficients are random and not necessarily adapted to the underlying…

L\'evy walks are continuous time random walks with spatio-temporal coupling of jump lengths and waiting times, often used to model superdiffusive spreading processes such as animals searching for food, tracer motion in weakly chaotic…

The challenge to fruitfully merge state-of-the-art techniques from mathematical finance and numerical analysis has inspired researchers to develop fast deterministic option pricing methods. As a result, highly efficient algorithms to…

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),…

For every Banach space $(Y,\|\cdot\|_Y)$ that admits an equivalent uniformly convex norm we prove that there exists $c=c(Y)\in (0,\infty)$ with the following property. Suppose that $n\in \mathbb{N}$ and that $X$ is an $n$-dimensional normed…

The {\em drawdown} process $Y$ of a completely asymmetric L\'{e}vy process $X$ is equal to $X$ reflected at its running supremum $\bar{X}$: $Y = \bar{X} - X$. In this paper we explicitly express in terms of the scale function and the…