39 citations · 197 across the 34 of their papers we have counts for
6 papers · 1 filter
Geometric Ergodicity of a Hypoelliptic Diffusion Modelling The Melt-Spinning Process of Nonwoven Materials
Martin Kolb, Mladen Savov, Achim Wubker
We analyze the large time behavior of a stochastic model for the lay-down of fibers on a conveyor belt in the production process of nonwovens. It is shown, that under weak conditio…
Extended Factorizations of Exponential Functionals of Lévy Processes
Pierre Patie, Mladen Savov
In [16], under mild conditions, a Wiener-Hopf type factorization is derived for the exponential functional of proper Lévy processes. In this paper, we extend this factorization by…
An Application of Renewal Theorems to Exponential Moments of Local Times
Leif Doering, Mladen Savov
In this note we explain two transitions known for moment generating functions of local times by means of properties of the renewal measure of a related renewal equation. The argume…
(Non)Differentiability and Asymptotics for Potential Densities of Subordinators
Leif Doering, Mladen Savov
For subordinators with positive drift we extend recent results on the structure of the potential measures and the renewal densities. Applying Fourier analysis a new representation…
Distributional properties of exponential functionals of Levy processes
A. Kuznetsov, J. C. Pardo, M. Savov
We study the distribution of the exponential functional $I(ξ,η)=\int_0^{\infty} \exp(ξ_{t-}) \d η_t$, where and are independent Lévy processes. In the general setting using…
A Wiener-Hopf Type Factorization for the Exponential Functional of Levy Processes
Pierre Patie, Juan Carlos Pardo Milan, Mladen Savov
For a Lévy process drifting to , we define the so-called exponential functional as follows \[{\rm{I}}_ξ=\int_0^{\infty}e^{ξ_t} dt.\] Under mild conditio…