Results 11 to 20 of about 20,185,936 (261)

Estimates of heat kernels of non-symmetric Lévy processes [PDF]

Forum mathematicum, 2017
We investigate densities of vaguely continuous convolution semigroups of probability measures on ℝd{{\mathbb{R}^{d}}}. First, we provide results that give upper estimates in a situation when the corresponding jump measure is allowed to be highly non ...
T. Grzywny, Karol Szczypkowski
semanticscholar   +1 more source

Rejection sampling for tempered Lévy processes [PDF]

Statistics and computing, 2018
We extend the idea of tempering stable Lévy processes to tempering more general classes of Lévy processes. We show that the original process can be decomposed into the sum of the tempered process and an independent point process of large jumps.
M. Grabchak
semanticscholar   +1 more source

Exit problems for general draw-down times of spectrally negative Lévy processes [PDF]

Journal of Applied Probability, 2017
For spectrally negative Lévy processes, we prove several fluctuation results involving a general draw-down time, which is a downward exit time from a dynamic level that depends on the running maximum of the process.
Bo-Yan Li, N. Vu, Xiaowen Zhou
semanticscholar   +1 more source

Maximum principles for nonlocal parabolic Waldenfels operators [PDF]

Bulletin of Mathematical Sciences, 2019
As a class of Lévy type Markov generators, nonlocal Waldenfels operators appear naturally in the context of investigating stochastic dynamics under Lévy fluctuations and constructing Markov processes with boundary conditions (in particular the ...
Qiao Huang, Jinqiao Duan, Jiang-Lun Wu
doaj   +1 more source

Infinitely ramified point measures and branching Lévy processes [PDF]

Annals of Probability, 2017
We call a random point measure infinitely ramified if for every $n \in \mathbb{N}$, it has the same distribution as the $n$th generation of some branching random walk.
J. Bertoin, Bastien Mallein
semanticscholar   +1 more source

Spectral heat content for Lévy processes [PDF]

Mathematische Nachrichten, 2017
In this paper we study the spectral heat content for various Lévy processes. We establish the small time asymptotic behavior of the spectral heat content for Lévy processes of bounded variation in Rd , d≥1 .
T. Grzywny, Hyunchul Park, R. Song
semanticscholar   +1 more source

Lévy Processes Linked to the Lower-Incomplete Gamma Function

Fractal and Fractional, 2021
We start by defining a subordinator by means of the lower-incomplete gamma function. This can be considered as an approximation of the stable subordinator, easier to be handled in view of its finite activity.
Luisa Beghin, Costantino Ricciuti
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On the optimality of double barrier strategies for Lévy processes [PDF]

Stochastic Processes and their Applications, 2019
This paper studies de Finetti's optimal dividend problem with capital injection. We confirm the optimality of a double barrier strategy when the underlying risk model follows a L\'evy process that may have positive and negative jumps.
Kei Noba
semanticscholar   +1 more source

Geometric approximations to transition densities of Jump-type Markov processes

Open Mathematics, 2021
This paper is concerned with the transition functions of symmetric Levy-type processes generated by a pseudo-differential operator with variable coefficients.
Zhuang Yuanying, Song Xiao
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Bernstein-gamma functions and exponential functionals of Levy Processes [PDF]

, 2016
We study the equation $M_\Psi(z+1)=\frac{-z}{\Psi(-z)}M_\Psi(z), M_\Psi(1)=1$ defined on a subset of the imaginary line and where $\Psi$ is a negative definite functions.
P. Patie, Mladen Savov
semanticscholar   +1 more source