相关论文: q-Levy processes
We show that the general L\'{e}vy process can be embedded in a suitable Fock space, classified by cocycles of the real line regarded as a group, ${\bf R}$. The formula of de Finetti corresponds to coboundaries. Kolmogorov's processes…
We derive an explicit formula for the Jacobi field that is acting in an extended Fock space and corresponds to an ($\R$-valued) L\'evy process on a Riemannian manifold. The support of the measure of jumps in the L\'evy--Khintchine…
In the recent paper \cite{Ng5} we have introduced a method of studying the multi-dimensional Kingman convolutions and their associated stochastic processes by embedding them into some multi-dimensional ordinary convolutions which allows to…
In our previous paper (ArXiv:1306.1492) we have proved that a representation of the infinitesimal generators $L$ for Levy processes $X_t$ can be written down in a convolution type form. For the case of non-summable Levy measures we…
We prove a version of the Feynman-Kac formula for Levy processes and integro-differential operators, with application to the momentum representation of suitable quantum (Euclidean) systems whose Hamiltonians involve L\'{e}vy-type…
We obtain series expansions of the $q$-scale functions of arbitrary spectrally negative L\'evy processes, including processes with infinite jump activity, and use these to derive various new examples of explicit $q$-scale functions.…
We review the recent results on the Jacobi field of a (real-valued) L\'evy process defined on a Riemannian manifold. In the case where the L\'evy process is neither Gaussian, nor Poisson, the corresponding Jacobi field acts in an extended…
A new 2-parameter quadratic deformation of the quantum oscillator algebra and its 1-parameter deformed Heisenberg subalgebra are considered. An infinite dimensional Fock module representation is presented which at roots of unity contains…
We present an alternative construction of the infinite dimensional It\^{o} integral with respect to a Hilbert space valued L\'{e}vy process. This approach is based on the well-known theory of real-valued stochastic integration, and the…
In this paper approximation methods for infinite-dimensional Levy processes, also called (time-dependent) Levy fields, are introduced. For square integrable fields beyond the Gaussian case, it is no longer given that the one-dimensional…
We introduce the (q,2)-Fock space over a given Hilbert space, calculate the explicit form of a product of the creation and annihilation operators acting on the vacuum vector, demonstrate that this explicit form involves a specific subset of…
In this paper, we study some aspects on random analysis on the L\'eevy stochastic processes with margins following generalized hyperbolic distributions generated by gamma laws. In particular we study the boundedness of its total variations…
The Fokker-Planck equations describe time evolution of probability densities of stochastic dynamical systems and are thus widely used to quantify random phenomena such as uncertainty propagation. For dynamical systems driven by non-Gaussian…
Exponential functionals of L\'evy processes appear as stationary distributions of generalized Ornstein-Uhlenbeck (GOU) processes. In this paper we obtain the infinitesimal generator of the GOU process and show that it is a Feller process.…
We prove that the stochastic differential equation $$ Y_{s,t}(x) = Y_{s,s}(x) + \int_0^{t-s} f(Y_{s,s+u}(x)) dX_{s+u}, Y_{s,s}(x)=x\in\R^d. $$ driven by a L\'evy process whose paths have finite p-variation almost surely for some $p\in[1,2)$…
The recent analysis on noncommutative geometry, showing quantization of the volume for the Riemannian manifold entering the geometry, can support a view of quantum mechanics as arising by a stochastic process on it. A class of stochastic…
In this paper we study set-valued Volterra-type stochastic integrals driven by L\'{e}vy processes. Upon extending the classical definitions of set-valued stochastic integral functionals to convoluted integrals with square-integrable…
In the paper we study stochastic convolution appearing in Volterra equation driven by so called L\'evy process. By L\'evy process we mean a process with homogeneous independent increments, continuous in probability and cadlag.
Our main result is the martingale representations for Markov additive processes where the modulator is a Levy process. These processes have three parts: the modulator, the jumps of the ordinate triggered by the modulator, and the…
A spectral representation for regularly varying L\'evy processes with index between one and two is established and the properties of the resulting random noise are discussed in detail giving also new insight in the $L^2$-case where the…