相关论文: Cramer's estimate for the exponential functional o…

A critical branching process $\left\{ Z_{k},k=0,1,2,...\right\} $ in a random environment is considered. A conditional functional limit theorem for the properly scaled process $\left\{ \log Z_{pu},0\leq u<\infty \right\} $ is established…

In this article, we study the potential theory of normal tempered stable process which is obtained by time-changing the Brownian motion with a tempered stable subordinator. Precisely, we study the asymptotic behavior of potential density…

In this work we characterize the local asymptotic self-similarity of harmonizable fractional L\'evy motions in the heavy tailed case. The corresponding tangent process is shown to be the harmonizable fractional stable motion. In addition,…

We study a variant of the Cucker-Smale system with distributed reaction delays. Using backward-forward and stability estimates on the quadratic velocity fluctuations we derive sufficient conditions for asymptotic flocking of the solutions.…

Distributional identities for a L\'evy process $X_t$, its quadratic variation process $V_t$ and its maximal jump processes, are derived, and used to make "small time" (as $t\downarrow0$) asymptotic comparisons between them. The…

In this paper, we consider transient subordinate Brownian motion X in R^d, d \geq 1, where the Laplace exponent \phi of the corresponding subordinator satisfies some mild conditions. The scaleinvariant Harnack inequality is proved for X. We…

This survey aims to review two decades of progress on exponential functionals of (possibly killed) real-valued L\'evy processes. Since the publication of the seminal survey by Bertoin and Yor, substantial advances have been made in…

We study the asymptotic behaviour of the tail of the distribution of the first passage time of a L\'evy process over a one-sided moving boundary. Our main result states that if the boundary behaves as $t^{\gamma}$ for large $t$ for some…

Let (X_t, t>=0) be a Levy process started at 0, with Levy measure nu and T_x the first hitting time of level x>0: T_x:=inf{t>=0; X_t>x}. Let $F(theta, mu, rho,.) be the joint Laplace transform of (T_x, K_x, L_x): F(theta,mu,rho,x)…

Let $X(t)$, $t\geq0$, be a L\'evy process in $\mathbb{R}^d$ starting at the origin. We study the closed convex hull $Z_s$ of $\{X(t): 0\leq t\leq s\}$. In particular, we provide conditions for the integrability of the intrinsic volumes of…

We show that alpha stable L\'evy motions can be simulated by any ergodic and aperiodic probability preserving transformation. Namely we show: - for $0<\alpha<1$ and every $\alpha$ stable L\'evy motion $\mathbb{W}$, there exists a function f…

We analyse a trimmed stochastic process of the form ${}^{(r)}X_t= X_t - \sum_{i=1}^r \Delta_t^{(i)}$, where $(X_t)_{t \geq 0}$ is a driftless subordinator on $\mathbb{R}$ with its jumps on $[0,t]$ ordered as $ \Delta_t^{(1)}\ge…

Trawl processes belong to the class of continuous-time, strictly stationary, infinitely divisible processes; they are defined as Levy bases evaluated over deterministic trawl sets. This article presents the first nonparametric estimator of…

If $X$ is a stable process of index $\alpha\in(0,2)$ whose L\'{e}vy measure has density $cx^{-\alpha-1}$ on $(0,\infty)$, and $S_1=\sup_{0<t\leq1}X_t$, it is known that $P(S_1>x)\backsim A\alpha ^{-1}x^{-\alpha}$ as $x\to\infty$ and…

We observe that approximate copies of the function $\Lambda _{n}:\mathbb{R}^{n}\rightarrow (0,\infty )$ defined by \begin{equation*} \Lambda _{n}(x)=\exp \left( -x_{1}-\pi \sum_{i=2}^{n}x_{i}^{2}\right) \end{equation*} appear in the tails…

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…

We provide necessary and sufficient conditions for convergence of exponential integrals of Markov additive processes. Other than in the classical L\'evy case studied by Erickson and Maller we have to distinguish between almost sure…

Here, we study the long-term behaviour of the non-explosion probability for continuous-state branching processes in a L\'evy environment when the branching mechanism is given by the negative of the Laplace exponent of a subordinator. In…

Let $p_t(x)$, $f_t(x)$ and $q_t^*(x)$ be the densities at time $t$ of a real L\'evy process, its running supremum and the entrance law of the reflected excursions at the infimum. We provide relationships between the asymptotic behaviour of…

For any strictly positive martingale $S = \exp(X)$ for which $X$ has a characteristic function, we provide an expansion for the implied volatility. This expansion is explicit in the sense that it involves no integrals, but only polynomials…