相关论文: Levy Processes: Hitting time, overshoot and unders…
These lectures notes aim at introducing L\'{e}vy processes in an informal and intuitive way, accessible to non-specialists in the field. In the first part, we focus on the theory of L\'{e}vy processes. We analyze a `toy' example of a…
For one-dimensional symmetric L\'{e}vy processes, which hit every point with positive probability, we give sharp bounds for the tail function of the first hitting time of B which is either a single point or an interval. The estimates are…
The paper considers the initial-boundary value problem for equation $D^\rho_t u(x,t)+ (-\Delta)^\sigma u(x,t)=0$, $\rho\in (0,1)$, $\sigma>0$, in an N-dimensional domain $\Omega$ with a homogeneous Dirichlet condition. The fractional…
In this paper we characterize the inequality \begin{equation*} \bigg( \int_0^{\infty} \bigg( \int_0^x \big[ T_{u,b}f^* (t)\big]^r\,dt\bigg)^{\frac{q}{r}} w(x)\,dx\bigg)^{\frac{1}{q}} \le C \, \bigg( \int_0^{\infty} \bigg( \int_0^x [f^*…
We prove that if a system has superpolynomial (faster than any power law) decay of correlations (with respect to Lipschitz observables) then the time $\tau (x,S_{r})$ needed for a typical point $x$ to enter for the first time a set…
The paper presents an integral representation of the two-parameter Mittag-Leffler function $E_{\rho,\mu}(z)$ and singular points of this representation have been studied. It has been found that there are two singular points for this…
Lepton flavour violating (LFV) processes are a smoking gun signal of new physics (NP). If the semileptonic $B$ decay anomalies are indeed due to some NP, such operators can potentially lead to LFV decays involving the second and the third…
In this article, the problem of semi-parametric inference on the parameters of a multidimensional L\'{e}vy process $L_t$ with independent components based on the low-frequency observations of the corresponding time-changed L\'{e}vy process…
Let $v:[0,T]\times \R^d \to \R$ be the solution of the parabolic backward equation $ \partial_t v + (1/2) \sum_{i,l} [\sigma \sigma^\perp]_{il} \partial_{x_i \partial_{x_l} v + \sum_{i} b_i \partial_{x_i}v + kv =0$ with terminal condition…
We establish exponential ergodicity for the stochastic Hamiltonian system $(X_t, V_t)_{t\ge0}$ on $\mathbb{R}^{2d}$ with L\'evy noises \begin{align*} \begin{cases} \mathrm{d} X_t=\big(a X_t+bV_t\big)\,\mathrm{d} t,\\ \mathrm{d}…
In this work we consider the following $\alpha$-stable-like operator (a class of pseudo-differential operator) $$ {\mathscr L} f(x):=\int_{\mathbb R^d}[f(x+\sigma_x y)-f(x)-1_{\alpha\in[1,2)}1_{|y|\leq 1}\sigma_x y\cdot\nabla f(x)]\nu_x(d…
In this paper we analyze the quasi-stationary workload of a L\'evy-driven storage system. More precisely, assuming the system is in stationarity, we study its behavior conditional on the event that the busy period $T$ in which time 0 is…
A level-dependent L\'evy process solves the stochastic differential equation $dU(t) = dX(t)-{\phi}(U(t)) dt$, where $X$ is a spectrally negative L\'evy process. A special case is a multi-refracted L\'evy process with…
Let $(\mathfrak{M},\rho,\mu)$ be a metric measure space satisfying a doubling condition, $p_0\in (1,\infty)$, and $T(t):L^{p_0}(\mathfrak{M},\mu)\rightarrow L^{p_0}(\mathfrak{M},\mu)$, $t\geq 0$, a strongly continuous semi-group. We provide…
For a L\'evy process $X$ on a finite time interval consider the probability that it exceeds some fixed threshold $x>0$ while staying below $x$ at the points of a regular grid. We establish exact asymptotic behavior of this probability as…
By killing a stable L\'{e}vy process when it leaves the positive half-line, or by conditioning it to stay positive, or by conditioning it to hit 0 continuously, we obtain three different positive self-similar Markov processes which…
We study the measure transition problem for bilateral Laplace transforms of meromorphic functions on vertical strips. Given a meromorphic function F admitting Laplace representations on two adjacent strips separated by a vertical line, we…
We perform a detailed analysis of the phase transition between the uniform superfluid and normal phases in spin- and mass-imbalanced Fermi mixtures. At mean-field level we demonstrate that at temperature $T\to 0$ the gradient term in the…
Let T_t=e^{-tL} be a semigroup of self-adjoint linear operators acting on L^2(X,mu), where (X,d mu) is a space of homogeneous type. We assume that T_t has an integral kernel T_t(x,y) which satisfies the upper and lower Gaussian bounds:…
We study Neumann type boundary value problems for nonlocal equations related to L\'evy processes. Since these equations are nonlocal, Neumann type problems can be obtained in many ways, depending on the kind of reflection we impose on the…