7 papers · 1 filter
Recent developments in exponential functionals of Lévy processes
Martin Minchev, Mladen Savov
This survey aims to review two decades of progress on exponential functionals of (possibly killed) real-valued Lévy processes. Since the publication of the seminal survey by Berto…
Bivariate Bernstein-gamma functions, potential measures, and asymptotics of exponential functionals of Lévy processes
Martin Minchev, Mladen Savov
Let be a Lévy process and , be the exponential functional of Lévy processes on deterministic horizon. Given that $\lim_{…
On the probability of n equidistant points in high-dimensional lattices
Stefan Gerdjikov, Martin Minchev, Mladen Savov
Consider -dimensional vectors with iid entries from a lattice distribution . We show that the probability that all distances between them are equal is asymptotically \[ C…
Sufficientness postulates for measure-valued Pólya urn sequences
Hristo Sariev, Mladen Savov
In a recent paper, the authors studied the distribution properties of a class of exchangeable processes, called measure-valued Pólya sequences (MVPS), which arise as the observati…
The uniqueness of the Wiener-Hopf factorisation of Lévy processes and random walks
Leif Döring, Mladen Savov, Lukas Trottner +1
We prove that the spatial Wiener-Hopf factorisation of a Lévy process or random walk without killing is unique.
Characterization of exchangeable measure-valued Pólya urn sequences
Hristo Sariev, Mladen Savov
Measure-valued Pólya urn sequences (MVPS) are a generalization of the observation processes generated by -color Pólya urn models, where the space of colors is a c…