相关论文: Levy Processes: Hitting time, overshoot and unders…

Let $(X, \mathscr{L}, \lambda)$ and $(Y, \mathscr{M}, \mu)$ be finite measure spaces for which there exist $A \in \mathscr{L}$ and $B \in \mathscr{M}$ with either $0 < \lambda(A) < 1 < \lambda(X)$ and $0 < \mu(B) < \mu(Y)$, or the other way…

We study L\'evy flights {{with arbitrary index $0< \mu \leq 2$}} inside a potential well of infinite depth. Such problem appears in many physical systems ranging from stochastic interfaces to fracture dynamics and multifractality in…

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 $p\in[1,2)$…

We consider the following family of Cauchy problems: {equation*} i\partial_t u= \Delta u - u|u|^\alpha, (t,x) \in \R \times \R^d {equation*} $$u(0)=\varphi\in H^1(\R^d)$$ where $0<\alpha<\frac 4{d-2}$ for $d\geq 3$ and $0<\alpha<\infty$ for…

Simple upper and lower bounds are established for the integral $\int_0^x\mathrm{e}^{-\beta t}t^\nu \mathbf{L}_\nu(t)\,\mathrm{d}t$, where $x>0$, $\nu>-1$, $0<\beta<1$ and $\mathbf{L}_\nu(x)$ is the modified Struve function of the first…

Let {X(t)}_{t\ge0} be a locally bounded and infinitely divisible stochastic process, with no Gaussian component, that is self-similar with index H>0. Pick constants \gamma >H and c>0. Let \nu be the L\'evy measure on R^{[0,\infty)} of X,…

Let us consider a real L\'evy process X whose transition probabilities are absolutely continuous and have bounded densities. Then the law of the past supremum of X before any deterministic time t is absolutely continuous on (0,\infty). We…

Using a special case of the Efros theorem which was derived by Wlodarski, and operational calculus, it was possible to derive many infinite integrals, finite integrals and integral identities for the function represented by the inverse…

Given a spectrally negative L\'evy process, we predict, in a $L_1$ sense, the last passage time of the process below zero before an independent exponential time. This optimal prediction problem generalises Baurdoux and Pedraza (2020) where…

This dissertation reviews the Standard Model formalism as well as the Lepton Flavour Violating (LFV) decay processes which cause its extension, known as the physics beyond the SM. Firstly, using the experimental bounds on three body LFV…

Markov-modulated L\'evy processes lead to matrix integral equations of the kind $ A_0 + A_1X+A_2 X^2+A_3(X)=0$ where $A_0$, $A_1$, $A_2$ are given matrix coefficients, while $A_3(X)$ is a nonlinear function, expressed in terms of integrals…

Let $\tau(x)$ be the first time the reflected process $Y$ of a Levy processes $X$ crosses x>0. The main aim of the paper is to investigate the asymptotic dependence of the path functionals: $Y(t) = X(t) - \inf_{0\leq s\leq t}X(s)$,…

We investigate two coupled properties of Levy stable random motions: The first passage times (FPTs) and the first passage leapovers (FPLs). While, in general, the FPT problem has been studied quite extensively, the FPL problem has hardly…

In this paper we study the mean of the first exit time from a bounded interval of various L\'evy processes. We establish sharp two-sided estimates of the mean for L\'evy processes under certain condition on their characteristic exponents.…

This article establishes a universal robust limit theorem under a sublinear expectation framework. Under moment and consistency conditions, we show that, for $\alpha \in(1,2)$, the i.i.d. sequence \[ \left \{ \left(…

Let X_t, 0<=t<=T be a one-dimensional stochastic process with independent and stationary increments. This paper considers the problem of stopping the process X_t "as close as possible" to its eventual supremum M_T:=sup{X_t: 0<=t<=T}, when…

For the plane, sphere, and hyperbolic plane we consider the canonical invariant determinantal point processes with intensity rho dnu, where nu is the corresponding invariant measure. We show that as rho converges to infinity, after…

In [BEI] we introduced a Levy process on a hierarchical lattice which is four dimensional, in the sense that the Green's function for the process equals 1/x^2. If the process is modified so as to be weakly self-repelling, it was shown that…

In this expository paper we describe the pathwise behaviour of the integral functional $\int_0^t f(Y_u)\,\dd u$ for any $t\in[0,\zeta]$, where $\zeta$ is (a possibly infinite) exit time of a one-dimensional diffusion process $Y$ from its…

Long memory processes driven by L\'evy noise with finite second-order moments have been well studied in the literature. They form a very rich class of processes presenting an autocovariance function which decays like a power function. Here,…