[PDF][PDF] Stable Lévy processes, self-similarity and the unit ball.
AE Kyprianou - ALEA. Latin American Journal of Probability & …, 2018 - warwick.ac.uk
Around the 1960s a celebrated collection of papers emerged offering a number of explicit
identities for the class of isotropic Lévy stable processes in one and higher dimensions; …
identities for the class of isotropic Lévy stable processes in one and higher dimensions; …
Bernstein-gamma functions and exponential functionals of Lévy processes
In this work we analyse the solution to the recurrence equation M_Ψ(z+1)=-zΨ(-
z)M_Ψ(z),\quadM_Ψ(1)=1, defined on a subset of the imaginary line and where -Ψ is any …
z)M_Ψ(z),\quadM_Ψ(1)=1, defined on a subset of the imaginary line and where -Ψ is any …
Fluctuations of stable processes and exponential functionals of hypergeometric Lévy processes
A Kuznetsov, JC Pardo - Acta Applicandae Mathematicae, 2013 - Springer
We study the distribution and various properties of exponential functionals of
hypergeometric Lévy processes. We derive an explicit formula for the Mellin transform of the …
hypergeometric Lévy processes. We derive an explicit formula for the Mellin transform of the …
[图书][B] Spectral expansions of non-self-adjoint generalized Laguerre semigroups
We provide the spectral expansion in a weighted Hilbert space of a substantial class of
invariant non-self-adjoint and non-local Markov operators which appear in limit theorems for …
invariant non-self-adjoint and non-local Markov operators which appear in limit theorems for …
Asymptotics for densities of exponential functionals of subordinators
Asymptotics for densities of exponential functionals of subordinators Page 1 Bernoulli 29(4),
2023, 3307–3333 https://doi.org/10.3150/23-BEJ1584 Asymptotics for densities of exponential …
2023, 3307–3333 https://doi.org/10.3150/23-BEJ1584 Asymptotics for densities of exponential …
Weak similarity orbit of (log)‐self‐similar Markov semigroups on the Euclidean space
We start by identifying a class of pseudo‐differential operators, generated by the set of
continuous negative definite functions, that are in the weak similarity (WS) orbit of the self …
continuous negative definite functions, that are in the weak similarity (WS) orbit of the self …
On the density of exponential functionals of Lévy processes
In this paper, we study the existence of the density associated with the exponential
functional of the Lévy process ξ, I_e_q:=0^e_qe^s\,ds, where e_q is an independent …
functional of the Lévy process ξ, I_e_q:=0^e_qe^s\,ds, where e_q is an independent …
[HTML][HTML] Quasi-stationary distributions and Yaglom limits of self-similar Markov processes
We discuss the existence and characterization of quasi-stationary distributions and Yaglom
limits of self-similar Markov processes that reach 0 in finite time. By Yaglom limit, we mean …
limits of self-similar Markov processes that reach 0 in finite time. By Yaglom limit, we mean …
Intertwining certain fractional derivatives
P Patie, T Simon - Potential analysis, 2012 - Springer
We obtain an intertwining relation between some Riemann–Liouville operators of order
α∈(1, 2), connecting through a certain multiplicative identity in law the one-dimensional …
α∈(1, 2), connecting through a certain multiplicative identity in law the one-dimensional …
A Wiener–Hopf type factorization for the exponential functional of Lévy processes
For a Lévy process ξ=(ξt) t⩾ 0 drifting to−∞, we define the so‐called exponential functional
as follows: I ξ=∫ 0∞ e ξ tdt. Under mild conditions on ξ, we show that the following …
as follows: I ξ=∫ 0∞ e ξ tdt. Under mild conditions on ξ, we show that the following …