相关论文: L\'evy walk revisited: Hermite polynomial expansio…
We develop a method that relates the truncated cumulant-function of the fourth order with the L\'evian cumulant-function. This gives us explicit formulas for the L\'evy-parameters, which allow a real-time analysis of the state of a…
We consider the asymptotic behavior of the multidimensional Laplace-type integral with a perturbed phase function. Under suitable assumptions, we derive a higher-order asymptotic expansion with an error estimate, generalizing some previous…
A convenient tool to obtain numerical methods specially tuned on oscillating functions is exponential fitting. Such methods are needed in various branches of natural sciences, particularly in physics, since a lot of physical phenomena…
Explicit coupling property and gradient estimates are investigated for the linear evolution equations on Hilbert spaces driven by an additive cylindrical L\'evy process. The results are efficiently applied to establish the exponential…
We prove sharp two-sided estimates on the tail probability of the first hitting time of bounded interval as well as its asymptotic behaviour for general non-symmetric processes which satisfy an integral condition \[ \int_0^{\infty}…
L\'{e}vy walks are a particular type of continuous-time random walks which results in a super-diffusive spreading of an initially localized packet. The original one-dimensional model has a simple schematization that is based on starting a…
A boundary element method (BEM) simulation is used to compare the efficiency of numerical inverse Laplace transform strategies, considering general requirements of Laplace-space numerical approaches. The two-dimensional BEM solution is used…
We present a new approach to fluctuation identities for reflected L\'{e}vy processes with one-sided jumps. This approach is based on a number of easy to understand observations and does not involve excursion theory or It\^{o} calculus. It…
Using a new approach, for spectrally negative L\'evy processes we find joint Laplace transforms involving the last exit time (from a semi-infinite interval), the value of the process at the last exit time and the associated occupation time,…
The Galilei-covariant fermionic field theories are quantized by using the path-integral method and five-dimensional Lorentz-like covariant expressions of non-relativistic field equations. Firstly, we review the five-dimensional approach to…
Two prominent methods for integer factorization are those based on general integer sieve and elliptic curve. The general integer sieve method can be specialized to quadratic integer sieve method. In this paper, a probability analysis for…
Variational approaches to approximate Bayesian inference provide very efficient means of performing parameter estimation and model selection. Among these, so-called variational-Laplace or VL schemes rely on Gaussian approximations to…
We use the martingale convergence method to get the weak convergence theorem on general functionals of partial sums of independent heavy-tailed random variables. The limiting process is the stochastic integral driven by $\alpha-$stable…
This paper studies the law of any power of the integral of geometric Brownian motion over any finite time interval. As its main results, two integral representations for this law are derived. This is by enhancing the Laplace transform…
We present a heuristic derivation of the first passage time exponent for the integral of a random walk [Y. G. Sinai, Theor. Math. Phys. {\bf 90}, 219 (1992)]. Building on this derivation, we construct an estimation scheme to understand the…
Continuous time random walks and Langevin equations are two classes of stochastic models for describing the dynamics of particles in the natural world. While some of the processes can be conveniently characterized by both of them, more…
Laplace's method, a family of asymptotic methods used to approximate integrals, is presented as a potential candidate for the tool box of techniques used for knowledge acquisition and probabilistic inference in belief networks with…
We show that the averaged characteristic polynomial and the averaged inverse characteristic polynomial, associated with Hermitian matrices whose elements perform a random walk in the space of complex numbers, satisfy certain partial…
Given discrete time observations over a growing time interval, we consider a nonparametric Bayesian approach to estimation of the L\'evy density of a L\'evy process belonging to a flexible class of infinite activity subordinators. Posterior…
It is shown that performing simultaneously two transformations on functions of space and time (for instance a Fourier transform on the space variable and a Laplace transform on the time variable) can be easier than performing them one after…