Zobrazeno 1 - 10
of 122
pro vyhledávání: '"Pardo, J. C."'
This article quantifies the asymptotic $\varepsilon$-mixing times, as $\varepsilon$ tends to 0, of a multivariate stable geometric Brownian motion with respect to the Wasserstein-Kantorovich-Rubinstein-2-distance. We study the cases of commutative dr
Externí odkaz:
http://arxiv.org/abs/2207.01666
Publikováno v:
Stochastics and Partial Differential Equations: Analysis and Computations 2022
This article generalizes the small noise cutoff phenomenon to the strong solutions of the stochastic heat equation and the damped stochastic wave equation over a bounded domain subject to additive and multiplicative Wiener and L\'evy noises in the Wa
Externí odkaz:
http://arxiv.org/abs/2107.14158
Publikováno v:
Electronic Journal of Probability 2021, Volume 26, Number 119, 2021, 1-76
This paper provides an extended case study of the cutoff phenomenon for a prototypical class of nonlinear Langevin systems with a single stable state perturbed by an additive pure jump L\'evy noise of small amplitude $\varepsilon>0$, where the drivin
Externí odkaz:
http://arxiv.org/abs/2011.10806
Akademický článek
Tento výsledek nelze pro nepřihlášené uživatele zobrazit.
K zobrazení výsledku je třeba se přihlásit.
K zobrazení výsledku je třeba se přihlásit.
Autor:
Palau, S., Pardo, J. C.
In this paper, we introduce branching processes in a L\'evy random environment. In order to define this class of processes, we study a particular class of non-negative stochastic differential equations driven by Brownian motions and Poisson random me
Externí odkaz:
http://arxiv.org/abs/1512.07691
Inspired by works of Landriault et al. \cite{LRZ-0, LRZ}, we study discounted penalties at ruin for surplus dynamics driven by a spectrally negative L\'evy process with Parisian implementation delays. To be specific, we study the so-called Gerber-Shi
Externí odkaz:
http://arxiv.org/abs/1407.6785
With a view to computing fluctuation identities related to stable processes, we review and extend the class of hypergeometric L\'evy processes explored in Kuznetsov and Pardo (arXiv:1012.0817). We give the Wiener-Hopf factorisation of a process in th
Externí odkaz:
http://arxiv.org/abs/1310.1135
A refracted L\'evy process is a L\'evy process whose dynamics change by subtracting off a fixed linear drift (of suitable size) whenever the aggregate process is above a pre-specified level. More precisely, whenever it exists, a refracted L\'evy proc
Externí odkaz:
http://arxiv.org/abs/1205.0756
Publikováno v:
Electron. J. Probab., 17, no. 8, 1-35, 2012
We study the distribution of the exponential functional $I(\xi,\eta)=\int_0^{\infty} \exp(\xi_{t-}) \d \eta_t$, where $\xi$ and $\eta$ are independent L\'evy processes. In the general setting using the theories of Markov processes and Schwartz distri
Externí odkaz:
http://arxiv.org/abs/1105.6365
Publikováno v:
Annals of Applied Probability 2011, Vol. 21, No. 6, 2171-2190
We develop a completely new and straightforward method for simulating the joint law of the position and running maximum at a fixed time of a general L\'{e}vy process with a view to application in insurance and financial mathematics. Although differen
Externí odkaz:
http://arxiv.org/abs/0912.4743