Tomasz Luks, Yimin Xiao
We determine the Hausdorff dimension of the set of double points for a symmetric operator stable Lévy process in terms of the eigenvalues of its stability exponent.
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Motivated by a recent paper of Budd, where a new family of positive self-similar Markov processes associated to stable processes appears, we introduce a new family of Lévy processes, called the double hypergeometric class, whose Wiener-Hopf factorisation is explicit, and as a result many functionals can be determined in closed form.
In this article, we discuss stability of the one-dimensional overdamped Lange\-vin equation in double-well potential. We determine unstable and stable equilibria, and discuss the rate of convergence to stable ones. Also, we derive conditions for stability of general diffusion processes which generalize the classical and well-known results of Khasminskii 2012.
In this paper we introduce a new class of Lévy processes which we call hypergeometric-stable Lévy processes, because they are obtained from symmetric stable processes through several transformations and where the Gauss hypergeometric function plays an essential role. We characterize the Lévy measure of this class and obtain several useful properties such as the Wiener Hopf factorization, the characteristic exponent and some associated exit problems.
We consider the Markov chain approximations for singular stable-like processes. First we obtain properties of some Markov chains. Then we construct the approximating Markov chains and give a necessary condition for weak convergence of these chains to singular stable-like processes.
We investigate a family of discrete-time stationary processes defined by multiple stable integrals and renewal processes with infinite means. The model may exhibit behaviors of short-range or long-range dependence, respectively, depending on the parameters. The main contribution is to establish a phase transition in terms of the tail processes that characterize local clustering of extremes. Moreover, in the short-range dependence regime, the model provides an example where the extremal index is different from the candidate extremal index.
Consider a surplus process which both of collected premium and payed claim size are two independent compound Poisson processes. This article derives two approximated formulas for the ruin probability of such surplus process, say double stochastic compound poisson process. More precisely, it provides two mixture exponential approximations for ruin probability of such double stochastic compound poisson process. Applications to long_term Bonus_Malus systems and a heavy-tiled claim size distribution have been given. Improvement of our findings compared to the Cramer- Lundberg upper bound has been …
A stable limit theorem for SDEs driven by multiplicative $α$-stable processes
针对乘性α-稳定过程驱动的SDEs，推导稳定极限定理，利用其L¹指数压缩估计，得到带平均Lévy测度的非退化对称α-稳定极限过程。
By using the existing sharp estimates of density function for rotationally invariant symmetric $α$-stable Lévy processes and rotationally invariant symmetric truncated $α$-stable Lévy processes, we obtain that Harnack inequalities hold for rotationally invariant symmetric $α$-stable Lévy processes with $α\in(0,2)$ and Ornstein-Uhlenbeck processes driven by rotationally invariant symmetric $α$-stable Lévy process, while logarithmic Harnack inequalities are satisfied for rotationally invariant symmetric truncated $α$-stable Lévy processes.
In this note we prove the well-posedness for stochastic 2D Navier-Stokes equation driven by general Lévy processes (in particular, $α$-stable processes), and obtain the existence of invariant measures.
Conditioning stable Lévy processes on zero probability events recently became a tractable subject since several explicit formulas emerged from a deep analysis using the Lamperti transformations for self-similar Markov processes. In this article we derive new harmonic functions and use them to explain how to condition stable processes to hit continuously a compact interval from the outside.
We give a series representation of the logarithm of the bivariate Laplace exponent $κ$ of $α$-stable processes for almost all $α\in (0,2]$.
A new family of stable processes indexed by metric spaces with stationary increments are introduced. They are special cases of a new family of set-indexed stable processes with Chentsov representation. At the heart of the representation, a result on the so-called measure definite kernels is of independent interest. A limit theorem for set-indexed processes is also established.
We identify the critical exponent of integrability of the first exit time of rotation invariant stable Lévy process from parabola--shaped region.
Operator-stable-like Processes
本文提出类算子稳定过程，证明其存在性并分析极大估计、矩、样本路径渐近行为及p-变差，推广了类稳定过程。
This paper elucidates the connection between stationary symmetric alpha-stable processes with 0<alpha<2 and nonsingular flows on measure spaces by describing a new and unique decomposition of stationary stable processes into those corresponding to positive flows and those corresponding to null flows. We show that a necessary and sufficient for a stationary stable process to be ergodic is that its positive component vanishes.
We study the exit time $τ=τ_{(0,\infty)}$ for 1-dimensional strictly stable processes and express its Laplace transform at $t^α$ as the Laplace transform of a positive random variable with explicit density. Consequently, $τ$ satisfies some multiplicative convolution relations. For some stable processes, e.g. for the symmetric $\frac23$-stable process, explicit formulas for the Laplace transform and the density of $τ$ are obtained as an application.
We prove that the class of discrete time stationary max-stable process satisfying the Markov property is equal, up to time reversal, to the class of stationary max-autoregressive processes of order $1$. A similar statement is also proved for continuous time processes.
We address the notion of association of sum- and max- stable processes from the perspective of linear and max-linear isometries. We establish the appealing results that these two classes of isometries can be identified on a proper space (the extended positive ratio space). This yields a natural way to associate to any max-stable process a sum-stable process. By using this association, we establish connections between structural and classification results for sum- and max- stable processes.
We develop classification results for max--stable processes, based on their spectral representations. The structure of max--linear isometries and minimal spectral representations play important roles. We propose a general classification strategy for measurable max--stable processes based on the notion of co--spectral functions. In particular, we discuss the spectrally continuous--discrete, the conservative--dissipative, and positive--null decompositions. For stationary max--stable processes, the latter two decompositions arise from connections to non--singular flows and are closely related to …
We investigate long and short memory in $α$-stable moving averages and max-stable processes with $α$-Fréchet marginal distributions. As these processes are heavy-tailed, we rely on the notion of long range dependence suggested by Kulik and Spodarev (2019) based on the covariance of excursions. Sufficient conditions for the long and short range dependence of $α$-stable moving averages are proven in terms of integrability of the corresponding kernel functions. For max-stable processes, the extremal coefficient function is used to state a necessary and sufficient condition for long range dependen…
We study the distribution and various properties of exponential functionals of hypergeometric Levy processes. We derive an explicit formula for the Mellin transform of the exponential functional and give both convergent and asymptotic series expansions of its probability density function. As applications we present a new proof of some of the results on the density of the supremum of a stable process, which were recently obtained by Kuznetsov "On extrema of stable processes" (2010) and Hubalek and Kuznetsov "A convergent series representation for the density of the supremum of a stable process"…
We study the asymptotics, for small and large values, of the supremum of a product of symmetric stable processes. We show in particular that the persistence exponent remains the same as for only one process, up to some logarithmic terms.
We characterize all possible independent symmetric alpha-stable (SaS) components of an SaS process, 0<alpha<2. In particular, we focus on stationary SaS processes and their independent stationary SaS components. We also develop a parallel characterization theory for max-stable processes.
Several aspects of the laws of first hitting times of points are investigated for one-dimensional symmetric stable Lévy processes. Itô's excursion theory plays a key role in this study.
We prove two limit laws for functionals of one dimensional symmetric 1-stable process using the method of moments, and give a remark on Rosen's paper \cite{Rosen}.
Let $\{X_{1}(t)\}_{0\leq t\leq1}$ and $\{X_{2}(t)\}_{0\leq t\leq1}$ be two independent continuous centered Gaussian processes with covariance functions$R_{1}$ and $R_{2}$. This paper shows that if the covariance functions are of finite $p$-variation and $q$-variation respectively and such that $p^{-1}+q^{-1}>1$,then the L{é}vy area can be defined as a double Wiener--Itò integral with respect to an isonormal Gaussian process induced by $X_{1}$ and $X_{2}$. Moreover, some properties of the characteristic function of that generalised L{é}vy area are studied.
A stochastically continuous process $ξ(t)$, $t\geq0$, is said to be time-stable if the sum of $n$ i.i.d. copies of $ξ$ equals in distribution to the time-scaled stochastic process $ξ(nt)$, $t\geq0$. The paper advances the understanding of time-stable processes by means of their LePage series representations.
We consider a branching stable process with positive jumps, i.e. a continuous-time branching process in which the particles evolve independently as stable L{é}vy processes with positive jumps. Assuming the branching mechanism is critical or subcritical, we compute the asymptotics of the maximum location ever reached by a particle of the process.
We obtain the Lifschitz tail asymptotics for the integrated density of states of the subordinate $α-$stable processes on the Sierpiński gasket $\mathcal G,$ evolving among killing Poissonian obstacles. Simultaneously, we derive the large-time asymptotics for the volume of the $α-$stable sausage on the gasket.
We establish a uniform Hausdorff dimension result for the inverse image sets of real-valued strictly $α$-stable Lévy processes with $1< α\le 2$. This extends a theorem of Kaufman for Brownian motion. Our method is different from that of Kaufman and depends on covering principles for Markov processes.
In this paper we investigate two variants of $α$-stable processes, namely tempered stable subordinators and modified tempered stable process as well as their renormalization. We study the weak convergence in the Skorohod space and prove that they satisfy the uniform tightness condition. Finally, applications to the $α$-dependence of the solutions of SDEs driven by these processes are discussed.
First, we present some results about the Hölder continuity of the sample paths of so called dilatively stable processes which are certain infinitely divisible processes having a more general scaling property than self-similarity. As a corollary, we obtain that the most important (H,delta)-dilatively stable limit processes (e.g., the LISOU and the LISCBI processes, see Igloi [4]) almost surely have a local Hölder exponent H. Next we prove that, under some slight regularity assumptions, any two dilatively stable processes with stationary increments are singular (in the sense that their distribut…
The normalized spectral representation of a max-stable process on a compact set is the unique representation where all spectral functions share the same supremum. Among the class of equivalent spectral representations of a process, the normalized spectral representation plays a distinctive role as a solution of two optimization problems in the context of an efficient simulation of max-stable processes. Our approach has the potential of considerably reducing the simulation time of max-stable processes.
Using a generalization of the skew-product representation of planar Brownian motion and the analogue of Spitzer's celebrated asymptotic Theorem for stable processes due to Bertoin and Werner, for which we provide a new easy proof, we obtain some limit Theorems for the exit time from a cone of stable processes of index $α\in(0,2)$. We also study the case $t\rightarrow0$ and we prove some Laws of the Iterated Logarithm (LIL) for the (well-defined) winding process associated to our planar stable process.
Dilative stability generalizes the property of selfsimilarity for infinitely divisible stochastic processes by introducing an additional scaling in the convolution exponent. Inspired by results of Iglói, we will show how dilatively stable processes with independent increments can be represented by integrals with respect to time-changed Lévy processes. Via a Lamperti-type transformation these representations are shown to be closely connected to translatively stable processes of Ornstein-Uhlenbeck-type, where translative stability generalizes the notion of stationarity. The presented results com…
Two kinds of conditionings for one-dimensional stable Lévy processes are discussed via $ h $-transforms of excursion measures: One is to stay positive, and the other is to avoid the origin.
On Layered Stable Processes
本文定义并研究了分层稳定过程，该过程结合了两种不同指数的稳定趋势，在短时间和长时间内分别近似于不同的稳定过程，并推导其级数表示用于揭示路径结构与模拟。
Branching-stable processes have recently appeared as counterparts of stable subordinators, when addition of real variables is replaced by branching mechanism for point processes. Here, we are interested in their domains of attraction and describe explicit conditions for a branching random walk to converge after a proper magnification to a branching-stable process. This contrasts with deep results that have been obtained during the last decade on the asymptotic behavior of branching random walks and which involve either shifting without rescaling, or demagnification.
For a stable process, we give an explicit formula for the potential measure of the process killed outside a bounded interval and the joint law of the overshoot, undershoot and undershoot from the maximum at exit from a bounded interval. We obtain the equivalent quantities for a stable process reflected in its infimum. The results are obtained by exploiting a simple connection with the Lamperti representation and exit problems of stable processes.
The tail correlation function (TCF) is one of the most popular bivariate extremal dependence measures that has entered the literature under various names. We study to what extent the TCF can distinguish between different classes of well-known max-stable processes and identify essentially different processes sharing the same TCF.
By using the coupling argument, we establish the Harnack and log-Harnack inequalites for stochastic differential equations with non-Lipschitz drifts and driven by additive anisotropic subordinated Brownian motions (in particular, cylindrical $α$-stable processes). Moreover, the gradient estimate is also derived when the drift is Lipschitz continuous.
For symmetric Lévy processes, if the local times exist, the Tanaka formula has already constructed via the techniques in the potential theory by Salminen and Yor (2007). In this paper, we study the Tanaka formula for arbitrary strictly stable processes with index $α\in (1,2)$ including spectrally positive and negative cases in a framework of Itô's stochastic calculus. Our approach to the existence of local times for such processes is different from Bertoin (1996).
We study avoidability of collections of balls in bounded $C^{1,1}$ opens sets for censored $α$-stable processes, $α\in (1,2)$. The results are analog to the ones obtained for Brownian motion in S. J. Gardiner, M. Ghergu, Champagne subregions of the unit ball with unavoidable bubbles, Ann. Acad. Sci. Fenn. Math. 35 (2010) 321-329. On the way we derive a Wiener-Aikawa-type criterion for minimal thinness with respect to the censored stable processes.
We study the probability of ruin before time $t$ for the family of tempered stable Lévy insurance risk processes, which includes the spectrally positive inverse Gaussian processes. Numerical approximations of the ruin time distribution are derived via the Laplace transform of the asymptotic ruin time distribution, for which we have an explicit expression. These are benchmarked against simulations based on importance sampling using stable processes. Theoretical consequences of the asymptotic formulae are found to indicate some potential drawbacks to the use of the inverse Gaussian process as a …
In this paper, we prove two limit laws for functionals of self-intersection symmetric alpha-stable processes with alpha\in(1,2). The results are obtained based on the method of moments, the sample configuration and the chaining argument introduced in (Nualart and Xu 2013) are employed.
In this paper we study the ergodicity and the related semigroup property for a class of symmetric Markov jump processes associated with time changed symmetric $α$-stable processes. For this purpose, explicit and sharp criteria for Poincaré type inequalities (including Poincaré, super Poincaré and weak Poincaré inequalities) of the corresponding non-local Dirichlet forms are derived. Moreover, our main results, when applied to a class of one-dimensional stochastic differential equations driven by symmetric $α$-stable processes, yield sharp criteria for their various ergodic properties and corre…
While max-stable processes are typically written as pointwise maxima over an infinite number of stochastic processes, in this paper, we consider a family of representations based on $\ell^p$ norms. This family includes both the construction of the Reich-Shaby model and the classical spectral representation by de Haan as special cases. As the representation of a max-stable process is not unique, we present formulae to switch between different equivalent representations. We further provide a necessary and sufficient condition for the existence of a $\ell^p$ norm based representation in terms of …
In this paper we investigate functions that are harmonic with respect to the non-symmetric strictly $α$-stable Lévy processes on an open set $D \in \mathbb{R}^d$. We obtain the explicit formula for their boundary decay rate at parts of the boudary of $D$ outside of which they vanish.
We study functional limit theorems for linear type processes with short memory under the assumption that the innovations are dependent identically distributed random variables with infinite variance and in the domain of attraction of stable laws.
We prove some invariance principles for processes which generalize FARIMA processes, when the innovations are in the domain of attraction of a nonGaussian stable distribution. The limiting processes are extensions of the fractional Lévy processes. The technique used is interesting in itself; it extends an older idea of splitting a sample into a central part and an extreme one, analyzing each part with different techniques, and then combining the results. This technique seems to have the potential to be useful in other problems in the domain of nonGaussian stable distributions.
In this work, we introduce a theory of stochastic integration with respect to symmetric $α$-stable cylindrical Lévy processes. Since $α$-stable cylindrical Lévy processes do not enjoy a semi-martingale decomposition, our approach is based on a decoupling inequality for the tangent sequence of the Radonified increments. This approach enables us to characterise the largest space of predictable Hilbert-Schmidt operator-valued processes which are integrable with respect to an $α$-stable cylindrical Lévy process as the collection of all predictable processes with paths in the Bochner space $L^α$. W…
The notion of stability can be generalised to point processes by defining the scaling operation in a randomised way: scaling a configuration by $t$ corresponds to letting such a configuration evolve according to a Markov branching particle system for -$\log t$ time. We prove that these are the only stochastic operations satisfying basic associativity and distributivity properties and we thus introduce the notion of branching-stable point processes. We characterise stable distributions with respect to local branching as thinning-stable point processes with multiplicities given by the quasi-stat…
In this paper, we consider a long-time behavior of stable-like processes. A stable-like process is a Feller process given by the symbol $p(x,ξ)=-iβ(x)ξ+γ(x)|ξ|^{α(x)},$ where $α(x)\in(0,2)$, $β(x)\in\R$ and $γ(x)\in(0,\infty)$. More precisely, we give sufficient conditions for recurrence, transience and ergodicity of stable-like processes in terms of the stability function $α(x)$, the drift function $β(x)$ and the scaling function $γ(x)$. Further, as a special case of these results we give a new proof for the recurrence and transience property of one-dimensional symmetric stable Lévy processes…
A limit theorem for generalized tempered stable processes and their quadratic variations with stable index tending to two
本文研究稳定指数趋于二时广义调和稳定过程的极限，证明其二次协变差收敛到独立的一维稳定过程，并应用于金融建模，构造逼近Black-Scholes的纯跳跃模型，分析隐含波动率偏斜。
In this paper, we study the asymptotic behaviour of one-dimensional integrated Ornstein-Uhlenbeck processes driven by $α$-stable Lévy processes of small amplitude. We prove that the integrated Ornstein-Uhlenbeck process converges weakly to the underlying $α$-stable Lévy process in the Skorokhod $M_1$-topology which secures the weak convergence of first passage times. This result follows from a more general result about approximations of an arbitrary Lévy process by continuous integrated Ornstein-Uhlenbeck processes in the $M_1$-topology.
We determine the limiting distribution and the explicit tail behavior for the maximal displacement of a branching symmetric stable process with spatially inhomogeneous branching structure. Here the branching rate is a Kato class measure with compact support and can be singular with respect to the Lebesgue measure.
We introduce and study the class of branching-stable point measures, which can be seen as an analog of stable random variables when the branching mechanism for point measures replaces the usual addition. In contrast with the classical theory of stable (Lévy) processes, there exists a rich family of branching-stable point measures with \emph{negative} scaling exponent, which can be described as certain Crump-Mode-Jagers branching processes. We investigate the asymptotic behavior of their cumulative distribution functions, that is, the number of atoms in $(-\infty, x]$ as $x\to \infty$, and furt…
Simulating Continuous-Time Autoregressive Moving Average Processes Driven By p-Tempered α-Stable Lévy Processes
本文研究了由 p-tempered α-stable Lévy 过程驱动的 CARMA 过程的模拟方案，通过截断级数表示近似驱动噪声，推导了级数表示结果，证明了误差界限，并通过 Monte Carlo 实验验证了方法的有效性。
We study stationary stable processes related to periodic and cyclic flows in the sense of Rosinski [Ann. Probab. 23 (1995) 1163-1187]. These processes are not ergodic. We provide their canonical representations, consider examples and show how to identify them among general stationary stable processes. We conclude with the unique decomposition in distribution of stationary stable processes into the sum of four major independent components: 1. A mixed moving average component. 2. A harmonizable (or ``trivial'') component. 3. A cyclic component 4. A component which is different from these.
In this paper, we investigate stochastic differential equations(SDEs) driven by a class of supercritical $α$-stable process(including the rotational symmetric $α-$stable process) with drift $b$. The weak well-posedness is proved, provided that the $(1-α)$-Hölder semi-norm of $b$ is sufficient small.
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