Representations of homogeneous quantum Lévy fields

We study homogeneous quantum Lévy processes and fields with independent additive increments over a noncommutative *-monoid. These are described by infinitely divisible generating state functionals, invariant with respect to an endomorphic injective action of a symmetry semigroup. A strongly covariant GNS representation for the conditionally positive logarithmic functionals of these states is constructed in the complex Minkowski space in terms of canonical quadruples and isometric representations on the underlying pre-Hilbert field space. This is of much use in constructing quantum stochastic representations of homogeneous quantum Lévy fields on Itô monoids, which is a natural algebraic way of defining dimension free, covariant quantum stochastic integration over a space-time indexing set.     

Fractional Lévy Processes as a Result of Compact Interval Integral Transformation

Fractional Brownian motion can be represented as an integral of a deterministic kernel w.r.t. an ordinary Brownian motion either on infinite or compact interval. In previous literature fractional Lévy processes are defined by integrating the infinite interval kernel w.r.t. a general Lévy process. In this article we define fractional Lévy processes using the com pact interval representation.

We prove that the fractional Lévy processes presented via different integral transformations have the same finite dimensional distributions if and only if they are fractional Brownian motions. Also, we present relations between different fractional Lévy processes and analyze the properties of such processes. A financial example is introduced as well.     

Inhomogeneous Lévy Processes in Lie Groups and Homogeneous Spaces

We obtain a representation of an inhomogeneous Lévy process in a Lie group or a homogeneous space in terms of a drift, a matrix function and a measure function. Since the stochastic continuity is not assumed, our result generalizes the well-known Lévy–Itô representation for stochastic continuous processes with independent increments in ? ^d and its extension to Lie groups.     

On a Class of Lévy Stochastic Networks

We consider a Lévy stochastic network as a regulated multidimensional Lévy process. The reflection direction is constant on each boundary of the positive orthant and the corresponding reflection matrix corresponds to a single-class network. We use the representation of the Lévy process and Itô's formula to arrive at some equations for the steady-state process; the latter is shown to exist, under natural stability conditions. We specialize first to the class of Lévy processes with non-negative jumps and then add the assumption of self-similarity. We show that the stationary distribution of the network corresponding the the latter process does not has product form (except in trivial cases). Finally, we derive asymptotic bounds for two-dimensional Lévy stochastic network.     

On Subordinated Multivariate Gaussian Lévy Processes

We discuss criteria for the selfdecomposability of multivariate Lévy processes. We consider in detail Thorin subordinated multivariate Gaussian Lévy processes. Partially on the basis of the author’s recent results (MII preprint No. 2004-33, 2004), in this paper, we consider the properties of the Pólya subordinated multivariate Gaussian Lévy processes. We define, as a special class, the multivariate generalized z-processes. The one-dimensional case was investigated in (Grigelionis, B.: Liet. Mat. Rink. 41(3), 303–309, 2001).     

Potential kernels,probabilities of hitting a ball,harmonic functions and the boundary Harnack inequality for unimodal Lévy processes

In the first part of this article, we prove two-sided estimates of hitting probabilities of balls, the potential kernel and the Green function for a ball for general isotropic unimodal Lévy processes. We also prove a supremum estimate and a regularity result for functions harmonic with respect to a general isotropic unimodal Lévy process.In the second part we apply the recent results on the boundary Harnack inequality and Martin representation of harmonic functions for the class of isotropic unimodal Lévy processes. As a sample application, we provide sharp two-sided estimates of the Green function of a half-space.     

Hyperfinite Lévy Processes

A hyperfinite Lévy process is an infinitesimal random walk (in the sense of nonstandard analysis) which with probability one is finite for all finite times. We develop the basic theory for hyperfinite Lévy processes and find a characterization in terms of transition probabilities. The standard part of a hyperfinite Lévy process is a (standard) Lévy process, and we show that given a generating triplet (γ, C, μ) for standard Lévy processes, we can construct hyperfinite Lévy processes whose standard parts correspond to this triplet. Hence all Lévy laws can be obtained from hyperfinite Lévy processes. The paper ends with a brief look at Malliavin calculus for hyperfinite Lévy processes including a version of the Clark-Haussmann-Ocone formula.     

Simulation of stochastic integrals with respect to Lévy processes of type G

We study the simulation of stochastic processes defined as stochastic integrals with respect to type G Lévy processes for the case where it is not possible to simulate the type G process exactly. The type G Lévy process as well as the stochastic integral can on compact intervals be represented as an infinite series. In a practical simulation we must truncate this representation. We examine the approximation of the remaining terms with a simpler process to get an approximation of the stochastic integral. We also show that a stochastic time change representation can be used to obtain an approximation of stochastic integrals with respect to type G Lévy processes provided that the integrator and the integrand are independent.     

Lévy-driven Volterra Equations in Space and Time

We investigate nonlinear stochastic Volterra equations in space and time that are driven by Lévy bases. Under a Lipschitz condition on the nonlinear term, we give existence and uniqueness criteria in weighted function spaces that depend on integrability properties of the kernel and the characteristics of the Lévy basis. Particular attention is devoted to equations with stationary solutions, or more generally, to equations with infinite memory, that is, where the time domain of integration starts at minus infinity. Here, in contrast to the case where time is positive, the usual integrability conditions on the kernel are no longer sufficient for the existence and uniqueness of solutions, but we have to impose additional size conditions on the kernel and the Lévy characteristics. Furthermore, once the existence of a solution is guaranteed, we analyze its asymptotic stability, that is, whether its moments remain bounded when time goes to infinity. Stability is proved whenever kernel and characteristics are small enough, or the nonlinearity of the equation exhibits a fractional growth of order strictly smaller than one. The results are applied to the stochastic heat equation for illustration.     

Regularity of Local Times Associated with Volterra–Lévy Processes and Path-Wise Regularization of Stochastic Differential Equations

Journal of Theoretical Probability - We investigate the space-time regularity of the local time associated with Volterra–Lévy processes, including Volterra processes driven by $$\alpha...     

Maximal Inequalities for Fractional Lévy and Related Processes

In this article we study processes that are constructed by a convolution of a deterministic kernel with a martingale. A special emphasis is put on the case where the driving martingale is a centred Lévy process, which covers the popular class of fractional Lévy processes. As a main result we show that, under appropriate assumptions on the kernel and the martingale, the maximum process of the corresponding “convoluted martingale” is p-integrable and we derive maximal inequalities in terms of the kernel and of the moments of the driving martingale.     

Strong and Weak Disorder for Lévy Directed Polymers in Random Environment

Abstract

We consider Lévy directed polymers in the Poisson random environment. We give conditions for strong or weak disorder in terms of the Lévy exponent of symmetric Lévy process.     

Fractional generalized Lévy random fields as white noise functionals

In this paper, we construct the fractional generalized Lévy random fields (FGLRF) as tempered white noise functionals. We find that this white noise approach is very effective in investigating the properties of these fields. Under some conditions, the fractional Lévy fields in the usual sense are obtained. In addition, we also present a method to construct the anisotropic fractional generalized Lévy random fields (AFGLRF).      

On transience of Lévy-type processes

In this paper, we study weak and strong transience of a class of Feller processes associated with pseudo-differential operators, the so-called Lévy-type processes. As a main result, we derive Chung-Fuchs type conditions (in terms of the symbol of the corresponding pseudo-differential operator) for these properties, which are sharp for Lévy processes. Also, as a consequence, we discuss the weak and strong transience with respect to the dimension of the state space and Pruitt indices, thus generalizing some well-known results related to elliptic diffusion and stable Lévy processes. Finally, in the case when the symbol is radial (in the co-variable) we provide conditions for the weak and strong transience in terms of the Lévy measures.     

Random attractors for stochastic differential equations driven by two-sided Lévy processes

Abstract

In this paper, the asymptotic behavior of solutions for a nonlinear Marcus stochastic differential equation with multiplicative two-sided Lévy noise is studied. We plan to consider this equation as a random dynamical system. Thus, we have to interpret a Lévy noise as a two-sided metric dynamical system. For that, we have to introduce some fundamental properties of such a noise. So far most studies have only discussed two-sided Lévy processes which are defined by combining two-independent Lévy processes. In this paper, we use another definition of two-sided Lévy process by expanding the probability space. Having this metric dynamical system we will show that the Marcus stochastic differential equation with a particular drift coefficient and multiplicative noise generates a random dynamical system which has a random attractor.     

The explicit chaotic representation of the powers of increments of Lévy processes

This paper presents a computationally explicit formula of the chaotic representation property (CRP) for the powers of increments of a Lévy process. The formula can be used to obtain the integrands of the CRP in terms of orthogonal compensated power jump processes and the CRP in terms of Poisson random measures. Simulation results demonstrate that the performance of the representation is satisfactory. The CRP of a number of financial derivatives can be found by expressing them in terms of the powers of increments of the underlying Lévy process using Taylor's expansion.     

Estimating spot volatility in the presence of infinite variation jumps

We propose a kernel estimator for the spot volatility of a semi-martingale at a given time point by using high frequency data, where the underlying process accommodates a jump part of infinite variation. The estimator is based on the representation of the characteristic function of Lévy processes. The consistency of the proposed estimator is established under some mild assumptions. By assuming that the jump part of the underlying process behaves like a symmetric stable Lévy process around 0, we establish the asymptotic normality of the proposed estimator. In particular, with a specific kernel function, the estimator is variance efficient. We conduct Monte Carlo simulation studies to assess our theoretical results and compare our estimator with existing ones.     

Weighted empirical processes in the nonparametric inference for Lévy processes

Given observations of a Lévy process, we provide nonparametric estimators of its Lévy tail and study the asymptotic properties of the corresponding weighted empirical processes. Within a special class of weight functions, we give necessary and sufficient conditions that ensure strong consistency and asymptotic normality of the weighted empirical processes, provided that complete information on the jumps is available. To cope with infinite activity processes, we depart from this assumption and analyze the weighted empirical processes of a sampling scheme where small jumps are neglected. We establish a bootstrap principle and provide a simulation study for some prominent Lévy processes.     

Transition probabilities of Lévy‐type processes: Parametrix construction

We present an existence result for Lévy‐type processes which requires only weak regularity assumptions on the symbol with respect to the space variable x. Applications range from existence and uniqueness results for Lévy‐driven SDEs with Hölder continuous coefficients to existence results for stable‐like processes and Lévy‐type processes with symbols of variable order. Moreover, we obtain heat kernel estimates for a class of Lévy and Lévy‐type processes. The paper includes an extensive list of Lévy(‐type) processes satisfying the assumptions of our results.