Subordinators: Examples and applications
Burgers equationfractal dimensionsladder time processlast passage timelaw of the iterated logarithmLévy processMarkov processoccupation time processrandom coveringregenerative setrenewal theorysubordinator
Geometric probability and stochastic geometry (60D05) Processes with independent increments; Lévy processes (60G51) Applications of stochastic analysis (to PDEs, etc.) (60H30) Continuous-time Markov processes on general state spaces (60J25) Local time and additive functionals (60J55) Diffusion processes (60J60) Brownian motion (60J65) Renewal theory (60K05)
The aim of this paper is to present a survey of methods, results and applications in the theory of subordinators (or increasing Lévy processes valued on the half-line), which reflects one of the author's preferred subjects. It can be seen as a very useful (and also somewhat easier) complement to his now classical book ``Lévy processes (1996; Zbl 0861.60003), even though it can also be read independently of the latter. The leitfaden of the article is the one-to-one correspondence between subordinators and regenerative (or Markov) sets. This makes it possible to apply the sample path and statistical properties of the former (which is the matter of the 1st part of the article) to a better geometric understanding of the latter (which concerns the 2nd part). Typically, a Markov set is the set of times where some Markov process visits some fixed time of its state space, so that the relatively simple theory of subordinators allows some fine study of processes which are much more general and complicated. In spite of its shortness, the material covered in this article is very rich, so that it seems reasonable to the reviewer to give only a sketch of its content. In the first two chapters the author presents the basic theory (Lévy-Khinchin formula, range of a subordinator, regenerative sets, connection with Markov processes and their local times at regular points). In the next three chapters he develops a finer study, which concerns in particular the asymptotic behaviour of last-passage times [including the celebrated Dynkin-Lamperti theorem, see \textit{J. Lamperti}, Ann. Math. Stat. 33, 685-696 (1962; Zbl 0106.33902) and \textit{E. B. Dynkin}, Select. Transl. Math. Stat. Probab. 1, 171-189 (1961); translation from Izv. Akad. Nauk SSSR, Ser. Mat. 19, No. 4, 247-266 (1955; Zbl 0068.12402)], the smoothness of local times [including Fristedt-Pruitt's law of the iterated logarithm see \textit{B. E. Fristedt} and \textit{W. E. Pruitt}, Z. Wahrscheinlichkeitstheorie Verw. Geb. 18, 167-182 (1971; Zbl 0197.44204)], and the geometry of Markov sets [with the results of \textit{J. Hawkes} on their Hausdorff dimension and independent intersection, see ibid. 33, 113-132 (1975; Zbl 0402.60074) and ibid. 37, 243-251 (1977; Zbl 0404.60077)]. The last four chapters are devoted to the applications of the above theory to various problems in stochastic analysis, and include numerous contributions of the author himself. These chapters are mainly concerned with a statistical (Brownian) study of the inviscid Burgers equation [see the author, Commun. Math. Phys. 193, No. 2, 397-406 (1998; Zbl 0917.60063)], a thickness problem in random covering [see \textit{P. J. Fitzsimmons, B. Fristedt} and \textit{L. A. Shepp}, Z. Wahrscheinlichkeitstheorie Verw. Geb. 70, 175-189 (1985; Zbl 0564.60008)], local times at a fixed point and at the supremum for Lévy processes [including the work of \textit{R. A. Doney} and the author of Spitzer's condition, Ann. Inst. Henri Poincaré, Probab. Stat. 33, No. 2, 167-178 (1997; Zbl 0880.60078)], and, last, the occupation time process of a linear diffusion (of Brownian motion in particular). For the entire collection see [Zbl 0930.00052].
- Stationary regenerative sets and subordinators
- Intersections of Brownian motions
- Renewal theory for embedded regenerative sets
- Mutations on a random binary tree with measured boundary
- On semi-Markov processes and their Kolmogorov's integro-differential equations
- One-sided FKPP travelling waves for homogeneous fragmentation processes
- Semi-Markov models and motion in heterogeneous media
- Random polymers on the complete graph
- Totally ordered measured trees and splitting trees with infinite variation
- Persistent random walks. II. Functional scaling limits
- Size bias for one and all
- Regenerative composition structures
- Level sets of additive Lévy processes
- Right inverses of nonsymmetric Lévy processes.
- Eternal solutions to Smoluchowski's coagulation equation with additive kernel and their probabilistic interpretations
- Default models based on scale mixtures of Marshall-Olkin copulas: properties and applications
- Fractional dynamics at multiple times
- The scaling limits of a heavy tailed Markov renewal process
- A family of random sup-measures with long-range dependence
- Moderate parts in regenerative compositions: the case of regular variation
- On non-local ergodic Jacobi semigroups: spectral theory, convergence-to-equilibrium and contractivity
- Probabilistic representation formula for the solution of fractional high-order heat-type equations
- Semi-Markov processes, integro-differential equations and anomalous diffusion-aggregation
- On discrete-time semi-Markov processes
- Time-non-local Pearson diffusions
- Survival analysis via hierarchically dependent mixture hazards
- Fractional Cauchy problem on random snowflakes
- Asymptotic stability of the time-changed stochastic delay differential equations with Markovian switching
- First passage times of subordinators and urns
- Limit theorems for local times and applications to SDEs with jumps
- Escape probabilities from an interval for compound Poisson processes with drift
- Monotonicity properties of regenerative sets and Lorden's inequality
- Fractional boundary value problems
- A phase transition in the coming down from infinity of simple exchangeable fragmentation-coagulation processes
- Choquet random sup-measures with aggregations
- Non-local solvable birth-death processes
- Asymptotic behaviour of ancestral lineages in subcritical continuous-state branching populations
- Variable order fractional Fokker-Planck equations derived from continuous time random walks
- Modified fractional logistic equation
- A two-parameter family of measure-valued diffusions with Poisson-Dirichlet stationary distributions
- An almost sure KPZ relation for SLE and Brownian motion
- A functional non-central limit theorem for multiple-stable processes with long-range dependence
- Time-changed fractional Ornstein-Uhlenbeck process
- Max-convolution semigroups and extreme values in limit theorems for the free multiplicative convolution
- A simple proof of the Lévy-Khintchine formula for subordinators
- Integrated density of states for Poisson-Schrödinger perturbations of subordinate Brownian motions on the Sierpiński gasket
- Entropic measure and Wasserstein diffusion
- Relaxation patterns and semi-Markov dynamics
- Distribution functions of Poisson random integrals: analysis and computation
- Razumikhin-type theorem on time-changed stochastic functional differential equations with Markovian switching
- Dimension transformation formula for conformal maps into the complement of an SLE curve
- Canonical spectral representation for exchangeable max-stable sequences
- Fractal-dimensional properties of subordinators
- Remarks on random countable stable zonotopes
- Extremal theory for long range dependent infinitely divisible processes
- Lévy subordinators in cones of fuzzy sets
- On the roughness of the paths of RBM in a wedge
- A class of special subordinators with nested ranges
- Pointwise eigenfunction estimates and intrinsic ultracontractivity-type properties of Feynman-Kac semigroups for a class of Lévy processes
- Lévy mixing related to distributed order calculus, subordinators and slow diffusions
- Filtration shrinkage by level-crossings of a diffusion
- The Markovian hyperbolic triangulation
- Covering numbers of different points in Dvoretzky covering
- On Dirichlet series and functional equations
- Parametric inference for discretely observed subordinate diffusions
- Functional quantization rate and mean regularity of processes with an application to Lévy processes
- Random stable laminations of the disk
- Beta-coalescents and continuous stable random trees
- Further examples of explicit Krein representations of certain subordinators
- A family of non-Gaussian martingales with Gaussian marginals
- Evaluating the small deviation probabilities for subordinated Lévy processes
- Different aspects of a random fragmentation model
- Asymptotic laws for compositions derived from transformed subordinators
- Regenerative compositions in the case of slow variation
- Convolution-type derivatives, hitting-times of subordinators and time-changed \(C_0\)-semigroups
- A glimpse of the conformal structure of random planar maps
- Mimicking self-similar processes
- Loss of mass in deterministic and random fragmentations.
- The M/G/ system revisited: finiteness, summability, long range dependence, and reverse engineering
- Last-passage time for linear diffusions and application to the emptying time of a box
- Models of space-time random fields on the sphere
- Exchangeable min-id sequences: characterization, exponent measures and non-decreasing id-processes
- Foreign exchange options on Heston-CIR model under Lévy process framework
- Multivariate subordination, self-decomposability and stability
- Small ball probabilities for a class of time-changed self-similar processes
- Stochastic representation of a fractional subdiffusion equation. The case of infinitely divisible waiting times, Lévy noise and space-time-dependent coefficients
- Fokker-Planck and Kolmogorov backward equations for continuous time random walk scaling limits
- scientific article; zbMATH DE number 5993933 (Why is no real title available?)
- On -coalescents with dust component
- On the macroscopic fractal geometry of some random sets
- Time-changed fast mean-reverting stochastic volatility models
- An analytical valuation framework for financial assets with trading suspensions
- Some pricing tools for the variance gamma model
- Intersections and limits of regenerative sets
- Numerical computation of hitting time distributions of increasing Lévy processes
- Time-inhomogeneous jump processes and variable order operators
- Fractionally integrated inverse stable subordinators
- Packing dimension of the range of a Lévy process
- Energy efficiency of consecutive fragmentation processes
- On the Mellin transforms of the perpetuity and the remainder variables associated to a subordinator
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