相关论文: Maximum Drawdown and Drawdown Duration of Spectral…

Consider a spectrally positive L\'evy process $Z$ with log-Laplace exponent $\Psi$ and a positive continuous function $R$ on $(0,\infty)$. We investigate the entrance from $\infty$ of the process $X$ obtained by changing time in $Z$ with…

Mathematical morphology, a field within image processing, includes various filters that either highlight, modify, or eliminate certain information in images based on an application's needs. Key operations in these filters are dilation and…

The transmission matrix (TM) is a representation to describe the light scattering process through a scattering medium. The degree of control elements in TM is correlated with the capacity of evaluating enormous equations with tremendous…

A statistical model of discrete finite length random processes with negative power law spectral densities is presented. The definition of terms is followed by a description of the spectral density trend. An algorithmic construction of…

We characterize the class of exchangeable Feller processes evolving on partitions with boundedly many blocks. In continuous-time, the jump measure decomposes into two parts: a $\sigma$-finite measure on stochastic matrices and a collection…

We study the distribution and various properties of exponential functionals of hypergeometric Levy processes. We derive an explicit formula for the Mellin transform of the exponential functional and give both convergent and asymptotic…

We use Levy processes to generate joint prior distributions, and therefore penalty functions, for a location parameter as p grows large. This generalizes the class of local-global shrinkage rules based on scale mixtures of normals,…

We map the phase-space trajectories of an external-cavity semiconductor laser using phase portraits. This is both a visualization tool as well as a thoroughly quantitative approach enabling unprecedented insight into the dynamical regimes,…

As a first step in the first passage problem for passive tracer in stratified porous media, we consider the case of a two-dimensional system consisting of two layers with different convection velocities. Using a lattice generating function…

We investigate multiple scattering of near-resonant light in a Doppler-broadened atomic vapor. We experimentally characterize the length distribution of the steps between successive scattering events. The obtained power law is…

Consider a sequence (Z_n,Z_n^M) of bivariate L\'evy processes, such that Z_n is a spectrally positive L\'evy process with finite variation, and Z_n^M is the counting process of marks in {0,1} carried by the jumps of Z_n. The study of these…

We find necessary and sufficient conditions for almost sure finiteness of integral functionals of spectrally positive L\'evy processes. Via Lamperti type transforms, these results can be applied to obtain new integral tests on extinction…

We construct intrinsic on-and off-diagonal upper and lower estimates for the transition probability density of a L\'evy process in small time. By intrinsic we mean that such estimates reflect the structure of the characteristic exponent of…

We consider a branching stable process with positive jumps, i.e. a continuous-time branching process in which the particles evolve independently as stable L{\'e}vy processes with positive jumps. Assuming the branching mechanism is critical…

We establish a connection between the scattering inverse problem and the determination of the distribution of the position of the Levy process at the exit time of a bounded interval in term of its Levy exponent.

Discontinuous time derivatives are used to model threshold-dependent switching in such diverse applications as dry friction, electronic control, and biological growth. In a continuous flow, a discon- tinuous derivative can generate multiple…

Consider a L\'evy process $Y(t)$ over an exponentially distributed time $T_\beta$ with mean $1/\beta$. We study the joint distribution of the running maximum $\bar{Y}(T_\beta)$ and the time epoch $G(T_\beta$) at which this maximum last…

This article deals with IDT processes, i.e. processes which are infinitely divisible with respect to time. Given an IDT process $(X_{t},\,t\geq0)$, there exists a unique (in law) L\'evy process $(L_{t}; t\geq0)$ which has the same…

We provide, in a general setting, explicit solutions for optimal stopping problems that involve a diffusion process and its running maximum. Besides, a new feature includes absorbing boundaries that vary with the value of the running…

It is shown that a certain functional of a branching process has representations in terms of both a maximisation problem and a minimisation problem. A consequence of these representation is that upper and lower bounds on the functional can…