Stochastic Loewner Evolutions (SLE) with a multiple sqrt(kappa)B of Brownian motion B as driving process are random planar curves (if kappa<=4) or growing compact sets generated by a curve (if kappa>4). We consider here more general Levy processes as driving processes and obtain evolutions expected to look like random trees or compact sets generated by trees, respectively. We show that when the driving force is of the form sqrt(kappa)B+theta^(1/alpha)S for a symmetric alpha-stable Levy process S, the cluster has zero or positive Lebesgue measure according to whether kappa<=4 or kappa>4. We also give mathematical evidence that a further phase transition at alpha=1 is attributable to the recurrence/transience dychotomy of the driving Levy process. We introduce a new class of evolutions that we call alpha-SLE. They have alpha-self-similarity properties for alpha-stable Levy driving processes. We show the phase transition at a critical coefficient theta=theta_0(alpha) analogous to the kappa=4 phase transition.
Schramm Loewner Evolutions (SLE) are random increasing hulls defined through the Loewner equation driven by Brownian motion. It is known that the increasing hulls are generated by continuous curves. When the driving process is of the form \sqrtκ B+θ^{1/α}S for a Brownian motion B and a symmetric α-stable process S with κnot equal to 4 and 8, we prove that the corresponding increasing hulls are generated by Cadlag curves.
We present new results for the complex generalized integral means spectrum for two kinds of whole-plane Loewner evolutions driven by Lévy processes: - Lévy processes with continuous trajectories, which correspond to Schramm-Loewner evolutions (SLE) with a drift term in the Brownian driving function. A natural path to access the standard integral means spectrum in the presence of drift goes through the introduction of the complex generalized integral means spectrum, which is obtained via the so-called Liouville quantum gravity. -Symmetric Lévy processes for which we generalize recent results by…
Levy-Loewner evolution (LLE) is a generalization of the Schramm-Loewner evolution (SLE) where the branching is possible in a course of growth process. We consider a class of radial Levy-Loewner evolutions for which sets of points of the average means beta-spectrum can be found exactly. In this paper we show how to overcome difficulties arised in previous works on multi-fractal analysis of SLE/LLE.
Consider a symmetric $α$-stable Lévy process with $α\in (1,2)$. We study shifted small ball probabilities for these processes in the uniform topology, when the shift function is an arbitrary continuous function which starts at 0. We obtain the exact rate of decrease for these probabilities including constants. Using these small ball estimates, we obtain a functional LIL for $α$-stable Lévy process with attracting functions that are continuous. It occurs that the limit set for the family of renormalized $α$-stable Lévy processes is equal to the set of all continuous functions on $[0,1]$ which s…
In this paper we study the asymptotic properties of the power variations of stochastic processes of the type X=Y+L, where L is an alpha-stable Levy process, and Y a perturbation which satisfies some mild Lipschitz continuity assumptions. We establish local functional limit theorems for the power variation processes of X. In case X is a solution of a stochastic differential equation driven by L, these limit theorems provide estimators of the stability index alpha. They are applicable for instance to model fitting problems for paleo-climatic temperature time series taken from the Greenland ice c…
Suppose that Y(t) is a d-dimensional Levy symmetric process for which its Levy measure differs from the Levy measure of the isotropic alpha-stable process (0<alpha<2) by a finite signed measure. For a bounded Lipschitz set D we compare the Green functions of the process Y and its stable counterpart. We prove a few comparability results either one sided or two sided. Assuming an additional condition about the difference of the densities of the Levy measures, namely that it is of order of |x|^{-d+varrho} as x near 0, where varrho>0, we prove that the Green functions are comparable, provided D is…
This work is about low dimensional reduction for a slow-fast data assimilation system with non-Gaussian $α-$stable Lévy noise via stochastic averaging. When the observations are only available for slow components, we show that the averaged, low dimensional filter approximates the original filter, by examining the corresponding Zakai stochastic partial differential equations. Furthermore, we demonstrate that the low dimensional slow system approximates the slow dynamics of the original system, by examining parameter estimation and most probable paths.
We consider bipolar oriented random planar maps with heavy-tailed face degrees. We show for each $α\in (1,2)$ that if the face degree is in the domain of attraction of an $α$-stable Lévy process, the corresponding random planar map has an infinite volume limit in the Benjamini-Schramm topology. We also show in the limit that the properly rescaled contour functions associated with the northwest and southeast trees converge in law to a certain correlated pair of $α$-stable Lévy processes. Combined with other work, this allows us to identify the scaling limit of the planar map with an SLE$_κ(ρ)$ …
We study the one-dimensional Levy stable density distributions g(alpha, beta; x) for -infty < x < infty, for rational values of index alpha and the asymmetry parameter beta: alpha = l/k and beta = (l - 2r)/k, where l, k and r are positive integers such that 0 < l/k < 1 for 0 <= r <= l and 1 < l/k <= 2 for l-k <= r <= k. We treat both symmetric (beta = 0) and asymmetric (beta neq 0) cases. We furnish exact and explicit forms of g(alpha, beta; x) in terms of known functions for any admissible values of alpha and beta specified by a triple of integers k, l and r. We reproduce all the previously k…
We study the exit problem of solutions of the stochastic differential equation dX(t)=-U'(X(t))dt+epsilon dL(t) from bounded or unbounded intervals which contain the unique asymptotically stable critical point of the deterministic dynamical system dY=-U'(Y) dt. The process L is composed of a standard Brownian motion and a symmetric alpha-stable Levy process. Using probabilistic estimates we show that in the small noise limit epsilon->0, the exit time of X from an interval is an exponentially distributed random variable and determine its expected value. Due to the heavy-tail nature of the alpha-…
For any 0 < alpha <2, a truncated symmetric alpha-stable process is a symmetric Levy process in R^d with a Levy density given by c|x|^{-d-alpha} 1_{|x|< 1} for some constant c. In this paper we study the potential theory of truncated symmetric stable processes in detail. We prove a Harnack inequality for nonnegative harmonic nonnegative functions these processes. We also establish a boundary Harnack principle for nonnegative functions which are harmonic with respect to these processes in bounded convex domains. We give an example of a non-convex domain for which the boundary Harnack principle …
We revisit the Bieberbach conjecture in the framework of SLE processes and, more generally, Lévy processes. The study of their unbounded whole-plane versions leads to a discrete series of exact results for the expectations of coefficients and their variances, and, more generally, for the derivative moments of some prescribed order p. These results are generalized to the m-fold conformal maps of whole-plane SLEs or Lévy-Loewner Evolutions (LLEs). We also study the (averaged) integral means multifractal spectra of these unbounded whole-plane SLE curves. We prove the existence of a phase transiti…
The purpose of this paper is to construct the law of a Lévy process conditioned to avoid zero, under mild technicals conditions, two of them being that the point zero is regular for itself and the Lévy process is not a compound Poisson process. Two constructions are proposed, the first lies on the method of $h$-transformation, which requires a deep study of the associated excessive function; while in the second it is obtained by conditioning the underlying Lévy process to avoid zero up to an independent exponential time whose parameter tends to $0.$ The former approach generalizes some of the …
We apply the method of correlation functions to the coefficient problem in stochastic geometry. In particular, we give a proof for some universal patterns conjectured by M. Zinsmeister for the second moments of the Taylor coefficients for special values of kappa in the whole-plane Schramm-Loewner evolution (SLE_kappa). We propose to use multi-point correlation functions for the study of higher moments in coefficient problem. Generalizations related to the Levy-type processes are also considered. The exact multifractal spectrum of considered version of the whole-plane SLE_kappa is discussed.
In this paper we show that a path-wise solution to the following integral equation $$ Y_t = \int_0^t f(Y_t) dX_t \qquad Y_0=a \in \R^d $$ exists under the assumption that X_t is a Lévy process of finite p-variation for some $p \geq1$ and that f is an $α$-Lipschitz function for some alpha>p. There are two types of solution, determined by the solution's behaviour at jump times of the process X, one we call geometric the other forward. The geometric solution is obtained by adding fictitious time and solving an associated integral equation. The forward solution is derived from the geometric soluti…
In this paper we return to the problem of Blumenthal-Getoor-Ray, published in 1961, which gave the law of the position of first entry of a symmetric alpha-stable process into the unit ball. Specifically, we are interested in establishing the same law, but now for a one dimensional alpha-stable process which enjoys two-sided jumps, and which is not necessarily symmetric. Our method is modern in the sense that we appeal to the relationship between alpha-stable processes and certain positive self-similar Markov processes. However there are two notable additional innovations. First, we make use of…
We consider radial Loewner evolution driven by unimodular Lévy 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 driving the Loewner equation with a compound Poisson process. The process involves two real parameters: the intensity of the underlying Poisson process and a localization parameter of the Poisson kernel which determines the jumps. A particular choice of parameters yields a growth process similar to the Hastings-Levitov $\rm{HL}(0)$ model. We describe the asymptotic…
First passage problems for spectrally negative Lévy processes with possible absorbtion or/and reflection at boundaries have been widely applied in mathematical finance, risk, queueing, and inventory/storage theory. Historically, such problems were tackled by taking Laplace transform of the associated Kolmogorov integro-differential equations involving the generator operator. In the last years there appeared an alternative approach based on the solution of two fundamental "two-sided exit" problems from an interval (TSE). A spectrally one-sided process will exit smoothly on one side on an interv…
Consider a multivariate Lévy-driven Ornstein-Uhlenbeck process where the stationary distribution or background driving Lévy process is from a parametric family. We derive the likelihood function assuming that the innovation term is absolutely continuous. Two examples are studied in detail: the process where the stationary distribution or background driving Lévy process is given by a weak variance alpha-gamma process, which is a multivariate generalisation of the variance gamma process created using weak subordination. In the former case, we give an explicit representation of the background dri…
We prove limit theorems for rescaled occupation time fluctuations of a (d,alpha,beta)-branching particle system (particles moving in R^d according to a spherically symmetric alpha-stable Levy process, (1+beta)-branching, 0<beta<1, uniform Poisson initial state), in the cases of critical dimension, d=alpha(1+beta)/beta, and large dimensions, d>alpha(1+beta)/beta. The fluctuation processes are continuous but their limits are stable processes with independent increments, which have jumps. The convergence is in the sense of finite-dimensional distributions, and also of space-time random fields (ti…
We derive a surprising correspondence between SLE$_κ(ρ)$ processes and light cones of the Gaussian free field (GFF). Recall that (one-sided, chordal, origin-seeded) SLE$_κ(ρ)$ processes are in some sense the simplest and most natural variants of the Schramm-Loewner evolution. They were originally defined only for $ρ> -2$, but one can use Lévy compensation to extend the definition to any $ρ> -2-\tfracκ{2}$ and to obtain qualitatively different curves. The triangle $T = \{(κ, ρ): (-2-\tfracκ{2})\vee (\tfracκ{2}-4) < ρ< -2 \}$ is the primary focus of this paper. When $(κ, ρ) \in T$, the SLE$_κ(ρ)…
We consider a long-range version of self-avoiding walk in dimension $d > 2(α\wedge 2)$, where $d$ denotes dimension and $α$ the power-law decay exponent of the coupling function. Under appropriate scaling we prove convergence to Brownian motion for $α\ge 2$, and to $α$-stable Lévy motion for $α< 2$. This complements results by Slade (1988), who proves convergence to Brownian motion for nearest-neighbor self-avoiding walk in high dimension.
We introduce a general distributional framework that results in a unifying description and characterization of a rich variety of continuous-time stochastic processes. The cornerstone of our approach is an innovation model that is driven by some generalized white noise process, which may be Gaussian or not (e.g., Laplace, impulsive Poisson or alpha stable). This allows for a conceptual decoupling between the correlation properties of the process, which are imposed by the whitening operator L, and its sparsity pattern which is determined by the type of noise excitation. The latter is fully speci…
Brownian motion is a well-known model for normal diffusion, but not all physical phenomena behave according to a Brownian motion. Many phenomena exhibit irregular diffusive behavior, called anomalous diffusion. Examples of anomalous diffusion have been observed in physics, hydrology, biology, and finance, among many other fields. Continuous-time random walks (CTRWs), introduced by Montroll and Weiss, serve as models for anomalous diffusion. CTRWs generalize the usual random walk model by allowing random waiting times between successive random jumps. Under certain conditions on the jumps and wa…
