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We consider radial Loewner evolution driven by unimodular L\'evy processes. We rescale the hulls of the evolution by capacity, and prove that the weak limit of the rescaled hulls exists. We then study a random growth model obtained by…
The time to first crossing for the Poisson counting process with respect to a linear moving barrier with offset is a classic problem, although key results remain scattered across the literature and their equivalence is often unclear. Here…
It is proved that the two-sided exits of a Levy process are proper, i.e. not a.s. equal to their one-sided counterparts, if and only if said process is not a subordinator or the negative of a subordinator. Furthermore, Levy processes are…
We consider here point processes $N^f(t)$, $t>0$, with independent increments and integer-valued jumps whose distribution is expressed in terms of Bern\v{s}tein functions $f$ with L\'evy measure $\nu$. We obtain the general expression of…
This paper introduces a generalization of the so-called space-fractional Poisson process by extending the difference operator acting on state space present in the associated difference-differential equations to a much more general form. It…
The theory of sparse stochastic processes offers a broad class of statistical models to study signals. In this framework, signals are represented as realizations of random processes that are solution of linear stochastic differential…
This chapter is an attempt to present a mathematical theory of compound fractional Poisson processes. The chapter begins with the characterization of a well-known L\'evy process: The compound Poisson process. The semi-Markov extension of…
In this paper we present multivariate space-time fractional Poisson processes by considering common random time-changes of a (finite-dimensional) vector of independent classical (non-fractional) Poisson processes. In some cases we also…
We introduce two general non-parametric methods for recovering paths of the Brownian and jump components from high-frequency observations of a L\'evy process. The first procedure relies on reordering of independently sampled normal…
We consider a Lindley process with Laplace distributed space increments. We obtain closed form recursive expressions for the density function of the position of the process and for its first exit time distribution from the domain $[0,h]$.…
Given a sample from a discretely observed multidimensional compound Poisson process, we study the problem of nonparametric estimation of its jump size density $r_0$ and intensity $\lambda_0$. We take a nonparametric Bayesian approach to the…
In this paper we consider two processes driven by diffusions and jumps. The jump components are Levy processes and they can both have finite activity and infinite activity. Given discrete observations we estimate the covariation between the…
We present an overview of the broad class of financial models in which the prices of assets are L\'evy-Ito processes driven by an $n$-dimensional Brownian motion and an independent Poisson random measure. The Poisson random measure is…
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…
In this paper, a Bayesian method for piecewise regression is adapted to handle counting processes data distributed as Poisson. A numerical code in Mathematica is developed and tested analyzing simulated data. The resulting method is…
We study spectral-theoretic properties of non-self-adjoint operators arising in the study of one-dimensional L\'evy processes with completely monotone jumps with a one-sided barrier. With no further assumptions, we provide an integral…
The claim arrival process to an insurance company is modeled by a compound Poisson process whose intensity and/or jump size distribution changes at an unobservable time with a known distribution. It is in the insurance company's interest to…
Stationary stochastic processes with independent increments, of which the Poisson process is a prominent example, are widely used to describe real world events. With the basic assumption that a counting process is stationary and has…
LPV systems with piecewise constant parameters subject to spontaneous Poissonian jumps are a class of systems that does not seem to have been thoroughly considered in the literature. We partially fill this gap here by providing sufficient…
This article studies the dynamics of a nonlinear dissipative reaction-diffusion equation with well-separated stable states which is perturbed by infinite-dimensional multiplicative L\'evy noise with a regularly varying component at…