相关论文: Dini derivatives for Exchangeable Increment proces…

We characterise, in terms of their transition laws, the class of one-dimensional L\'evy processes whose graph has a continuously differentiable (planar) convex hull. We show that this phenomenon is exhibited by a broad class of infinite…

We establish a one-to-one correspondence between (i) exchangeable sequences of random variables whose finite-dimensional distributions are minimum (or maximum) infinitely divisible and (ii) non-negative, non-decreasing, infinitely divisible…

We propose a path transformation which applied to a cyclically exchangeable increment process conditions its minimum to belong to a given interval. This path transformation is then applied to processes with start and end at zero. It is seen…

For a given L\'{e}vy process $X=(X_t)_{t\in\mathbb{R}_+}$ and for fixed $s\in \mathbb{R}_{+}\cup\{\infty\}$ and $t\in\mathbb{R}_+$ we analyse the {\it future drawdown extremes} that are defined as follows: \begin{eqnarray*} \overline…

We study the small-time asymptotics of sample paths of L\'evy processes and L\'evy-type processes. Namely, we investigate under which conditions the limit $$\limsup_{t \to 0} \frac{1}{f(t)} |X_t-X_0|$$ is finite resp.\ infinite with…

Let $(\xi,\eta)$ be a bivariate L\'evy process such that the integral $\int\_0^\infty e^{-\xi\_{t-}} d\eta\_t$ converges almost surely. We characterise, in terms of their \LL measures, those L\'evy processes for which (the distribution of)…

We study the distribution of the exponential functional $I(\xi,\eta)=\int_0^{\infty} \exp(\xi_{t-}) \d \eta_t$, where $\xi$ and $\eta$ are independent L\'evy processes. In the general setting using the theories of Markov processes and…

We prove exponential convergence to the invariant measure, in the total variation norm, for solutions of SDEs driven by $\alpha$-stable noises in finite and in infinite dimensions. Two approaches are used. The first one is based on Harris…

We consider a defaultable asset whose risk-neutral pricing dynamics are described by an exponential Levy-type martingale subject to default. This class of models allows for local volatility, local default intensity, and a locally dependent…

Let $\xi$ be a L\'{e}vy process and $I_\xi(t):=\int_{0}^te^{-\xi_s}\mathrm{d} s$, $t\geq 0,$ be the exponential functional of L\'{e}vy processes on deterministic horizon. Given that $\lim_{t\to \infty}\xi_t=-\infty$ we evaluate for general…

We characterize the finite variation property for stationary increment mixed moving averages driven by infinitely divisible random measures. Such processes include fractional and moving average processes driven by Levy processes, and also…

Infinitesimal contraction analysis provides exponential convergence rates between arbitrary pairs of trajectories of a system by studying the system's linearization. An essentially equivalent viewpoint arises through stability analysis of a…

In this paper we study general nonlinear stochastic differential equations, where the usual Brownian motion is replaced by a L\'evy process. We also suppose that the coefficient multiplying the increments of this process is merely Lipschitz…

We prove a conjecture of Diaconis and Freedman (Ann. Probab. 1980) characterising the extreme points of the set of partially-exchangeable processes on a countable set. More concretely, we prove that the partially exchangeable sigma-algebra…

Consider a sequence {X(i,0) : i = 1, ..., n} of i.i.d. random variables. Associate to each X(i,0) an independent mean-one Poisson clock. Every time a clock rings replace that X-variable by an independent copy. In this way, we obtain i.i.d.…

We derive a new equation for the optimal investment boundary of a general irreversible investment problem under exponential L\'evy uncertainty. The problem is set as an infinite time-horizon, two-dimensional degenerate singular stochastic…

In this paper we study the exponential functionals of the processes $X$ with independent increments , namely $$I_t= \int _0^t\exp(-X_s)ds, _,\,\, t\geq 0,$$ and also $$I_{\infty}= \int _0^{\infty}\exp(-X_s)ds.$$ When $X$ is a…

We give a sufficient condition under which the time-marginal law of $\mu$-reversible infinite interacting Brownian motions is characterised as the steepest gradient descent of the relative entropy in the Wasserstein space in the sense of…

For a L\'evy process $\xi=(\xi_t)_{t\geq0}$ drifting to $-\infty$, we define the so-called exponential functional as follows \[{\rm{I}}_{\xi}=\int_0^{\infty}e^{\xi_t} dt.\] Under mild conditions on $\xi$, we show that the following…

In this note we consider stochastic differential equations driven by fractional Brownian motions (fBm) with Hurst parameter $H>1/3$. We prove that the corresponding modified Euler scheme and its Malliavin derivatives are integrable,…