707 citations
Counting papers with at most 25 authors, so collaboration author lists do not stand in for the people here.
- AGH University of KrakowPL483 papers
- Centre National de la Recherche ScientifiqueFR85 papers
- Institute of PhysicsPL75 papers
- Polish Academy of SciencesPL72 papers
- University of Tennessee at KnoxvilleUS57 papers
- University of WrocławPL57 papers
- Institute of MathematicsPL51 papers
- Jožef Stefan InstituteSI49 papers
- University of WarsawPL45 papers
- University of LjubljanaSI39 papers
- University of MünsterDE36 papers
- Max Planck Institute for the Physics of Complex SystemsDE34 papers
6 papers · 2 filters
On Future Drawdowns of Lévy processes
E. J. Baurdoux, Z. Palmowski, M. R. Pistorius
For a given Lévy process and for fixed and we analyse the {\it future drawdown extremes} that ar…
Limit Theorems and Governing Equations for Levy Walks
M. Magdziarz, H. P. Scheffler, P. Straka +1
The Levy Walk is the process with continuous sample paths which arises from consecutive linear motions of i.i.d. lengths with i.i.d. directions. Assuming speed 1 and motions in the…
Discrete time ruin probability with Parisian delay
Irmina Czarna, Zbigniew Palmowski, Przemysław Światek
In this paper we evaluate the probability of the discrete time Parisian ruin that occurs when surplus process stays below or at zero at least for some fixed duration of time .…
Hitting times of points for symmetric Lévy processes with completely monotone jumps
Tomasz Juszczyszyn, Mateusz Kwaśnicki
Small-space and large-time estimates and asymptotic expansion of the distribution function and (the derivatives of) the density function of hitting times of points for symmetric Lé…
Dirichlet heat kernel for unimodal Lévy processes
K. Bogdan, T. Grzywny, M. Ryznar
We estimate the heat kernel of the smooth open set for the isotropic unimodal pure-jump Lévy process with infinite Lévy measure and weakly scaling Lévy-Kchintchine exponent.
New families of subordinators with explicit transition probability semigroup
James Burridge, Mateusz Kwaśnicki, Alexey Kuznetsov +1
There exist only a few known examples of subordinators for which the transition probability density can be computed explicitly along side an expression for its Lévy measure and Lap…