Concavity and reflected Lévy processes

1992 ◽  
Vol 29 (1) ◽  
pp. 209-215 ◽  
Author(s):  
Offer Kella
Keyword(s):  
Laplace Transform ◽  
Lévy Process ◽  
Sufficient Conditions ◽  
Concave Function ◽  
Idle Time ◽  
Time Variable ◽  
Levy Process ◽  
Virtual Waiting Time ◽  
Necessary And Sufficient ◽  
Special Case

Simple necessary and sufficient conditions for a function to be concave in terms of its shifted Laplace transform are given. As an application of this result, we show that the expected local time at zero of a reflected Lévy process with no negative jumps, starting from the origin, is a concave function of the time variable. A special case is the expected cumulative idle time in an M/G/1 queue. An immediate corollary is the concavity of the expected value of the reflected Lévy process itself. A special case is the virtual waiting time in an M/G/1 queue.

Concavity and reflected Lévy processes

1992 ◽  
Vol 29 (01) ◽  
pp. 209-215
Author(s):  
Offer Kella
Keyword(s):  
Laplace Transform ◽  
Lévy Process ◽  
Sufficient Conditions ◽  
Concave Function ◽  
Idle Time ◽  
Time Variable ◽  
Levy Process ◽  
Virtual Waiting Time ◽  
Necessary And Sufficient ◽  
Special Case

Simple necessary and sufficient conditions for a function to be concave in terms of its shifted Laplace transform are given. As an application of this result, we show that the expected local time at zero of a reflected Lévy process with no negative jumps, starting from the origin, is a concave function of the time variable. A special case is the expected cumulative idle time in an M/G/1 queue. An immediate corollary is the concavity of the expected value of the reflected Lévy process itself. A special case is the virtual waiting time in an M/G/1 queue.

scholarly journals A continuous-time GARCH process driven by a Lévy process: stationarity and second-order behaviour

2004 ◽  
Vol 41 (03) ◽  
pp. 601-622 ◽  
Author(s):  
Claudia Klüppelberg ◽  
Alexander Lindner ◽  
Ross Maller
Keyword(s):  
Discrete Time ◽  
Continuous Time ◽  
Lévy Process ◽  
Sufficient Conditions ◽  
Almost Sure Convergence ◽  
Levy Process ◽  
Volatility Models ◽  
Garch Processes ◽  
Continuous Time Processes ◽  
Necessary And Sufficient

We use a discrete-time analysis, giving necessary and sufficient conditions for the almost-sure convergence of ARCH(1) and GARCH(1,1) discrete-time models, to suggest an extension of the ARCH and GARCH concepts to continuous-time processes. Our ‘COGARCH’ (continuous-time GARCH) model, based on a single background driving Lévy process, is different from, though related to, other continuous-time stochastic volatility models that have been proposed. The model generalises the essential features of discrete-time GARCH processes, and is amenable to further analysis, possessing useful Markovian and stationarity properties.

Additive Functionals on Lorentz Spaces

1984 ◽  
Vol 27 (1) ◽  
pp. 31-37
Author(s):  
Pratibha G. Ghatage
Keyword(s):  
Sufficient Conditions ◽  
Concave Function ◽  
Additive Functional ◽  
Real Numbers ◽  
Positive Real ◽  
Additive Functionals ◽  
Atomic Measure ◽  
Necessary And Sufficient ◽  
Special Case ◽  
Lorentz Norm

AbstractIf (X, β, μ) is a σ-finite, non-atomic measure space, and ϕ is an increasing non-negative concave function defined on the positive real numbers, we give a set of necessary and sufficient conditions for an additive functional T on the Lorentz space Nϕ to have an integral representation with a Caratheodory kernel. In the special case when T is statistical we classify the functional properties (enjoyed by the kernels) in terms of the Lorentz norm on the space.

scholarly journals Necessary and sufficient condition for ℳ2-convergence to a Lévy process for billiards with cusps at flat points

2020 ◽  
pp. 2150024
Author(s):  
Paul Jung ◽  
Ian Melbourne ◽  
Françoise Pène ◽  
Paulo Varandas ◽  
Hong-Kun Zhang
Keyword(s):  
Recent Work ◽  
Lévy Process ◽  
Sufficient Conditions ◽  
Levy Process ◽  
Sufficient Condition ◽  
Necessary And Sufficient Condition ◽  
Stable Law ◽  
Dispersing Billiards ◽  
Skorohod Topologies ◽  
Necessary And Sufficient

We consider a class of planar dispersing billiards with a cusp at a point of vanishing curvature. Convergence to a stable law and to the corresponding Lévy process in the [Formula: see text] and [Formula: see text] Skorohod topologies has been studied in recent work. Here, we show that certain sufficient conditions for [Formula: see text]-convergence are also necessary.

scholarly journals A continuous-time GARCH process driven by a Lévy process: stationarity and second-order behaviour

2004 ◽  
Vol 41 (3) ◽  
pp. 601-622 ◽  
Author(s):  
Claudia Klüppelberg ◽  
Alexander Lindner ◽  
Ross Maller
Keyword(s):  
Discrete Time ◽  
Continuous Time ◽  
Lévy Process ◽  
Sufficient Conditions ◽  
Almost Sure Convergence ◽  
Levy Process ◽  
Volatility Models ◽  
Garch Processes ◽  
Continuous Time Processes ◽  
Necessary And Sufficient

We use a discrete-time analysis, giving necessary and sufficient conditions for the almost-sure convergence of ARCH(1) and GARCH(1,1) discrete-time models, to suggest an extension of the ARCH and GARCH concepts to continuous-time processes. Our ‘COGARCH’ (continuous-time GARCH) model, based on a single background driving Lévy process, is different from, though related to, other continuous-time stochastic volatility models that have been proposed. The model generalises the essential features of discrete-time GARCH processes, and is amenable to further analysis, possessing useful Markovian and stationarity properties.

The extinction time of a general birth and death process with catastrophes

1986 ◽  
Vol 23 (04) ◽  
pp. 851-858 ◽  
Author(s):  
P. J. Brockwell
Keyword(s):  
Laplace Transform ◽  
Size Distribution ◽  
Sufficient Conditions ◽  
Necessary And Sufficient Conditions ◽  
Death Process ◽  
Extinction Time ◽  
Birth And Death Process ◽  
Different Types ◽  
The Laplace Transform ◽  
Necessary And Sufficient

The Laplace transform of the extinction time is determined for a general birth and death process with arbitrary catastrophe rate and catastrophe size distribution. It is assumed only that the birth rates satisfyλ0= 0,λj> 0 for eachj> 0, and. Necessary and sufficient conditions for certain extinction of the population are derived. The results are applied to the linear birth and death process (λj=jλ, µj=jμ) with catastrophes of several different types.

PBW deformations of quantum symmetric algebras and their group extensions

2016 ◽  
Vol 15 (03) ◽  
pp. 1650049 ◽  
Author(s):  
Piyush Shroff ◽  
Sarah Witherspoon
Keyword(s):  
Finite Group ◽  
Lie Algebra ◽  
Sufficient Conditions ◽  
Necessary And Sufficient Conditions ◽  
Group Extensions ◽  
Enveloping Algebra ◽  
Symmetric Algebras ◽  
Necessary And Sufficient ◽  
Special Case

We examine PBW deformations of finite group extensions of quantum symmetric algebras, in particular the quantum Drinfeld orbifold algebras defined by the first author. We give a homological interpretation, in terms of Gerstenhaber brackets, of the necessary and sufficient conditions on parameter functions to define a quantum Drinfeld orbifold algebra, thus clarifying the conditions. In case the acting group is trivial, we determine conditions under which such a PBW deformation is a generalized enveloping algebra of a color Lie algebra; our PBW deformations include these algebras as a special case.

scholarly journals Last Exit Before an Exponential Time for Spectrally Negative Lévy Processes

2009 ◽  
Vol 46 (02) ◽  
pp. 542-558 ◽  
Author(s):  
E. J. Baurdoux
Keyword(s):  
Laplace Transform ◽  
Lévy Process ◽  
Risk Process ◽  
Levy Process ◽  
Risk Theory ◽  
Exponential Time ◽  
Main Motivation ◽  
Spectrally Negative Lévy Process ◽  
The Laplace Transform ◽  
Spectrally Negative Lévy Processes

Chiu and Yin (2005) found the Laplace transform of the last time a spectrally negative Lévy process, which drifts to ∞, is below some level. The main motivation for the study of this random time stems from risk theory: what is the last time the risk process, modeled by a spectrally negative Lévy process drifting to ∞, is 0? In this paper we extend the result of Chiu and Yin, and we derive the Laplace transform of the last time, before an independent, exponentially distributed time, that a spectrally negative Lévy process (without any further conditions) exceeds (upwards or downwards) or hits a certain level. As an application, we extend a result found in Doney (1991).

A model for interaction of a Poisson and a renewal process and its relation with queuing theory

1972 ◽  
Vol 9 (2) ◽  
pp. 451-456 ◽  
Author(s):  
Lennart Råde
Keyword(s):  
Poisson Process ◽  
Renewal Process ◽  
Queuing Theory ◽  
Random Number ◽  
Sufficient Conditions ◽  
Stieltjes Transform ◽  
Time Intervals ◽  
Response Process ◽  
Necessary And Sufficient ◽  
Special Case

This paper discusses the response process when a Poisson process interacts with a renewal process in such a way that one or more points of the Poisson process eliminate a random number of consecutive points of the renewal process. A queuing situation is devised such that the c.d.f. of the length of the busy period is the same as the c.d.f. of the length of time intervals of the renewal response process. The Laplace-Stieltjes transform is obtained and from this the expectation of the time intervals of the response process is derived. For a special case necessary and sufficient conditions for the response process to be a Poisson process are found.

scholarly journals Characterizations and Identities for Isosceles Triangular Numbers

2021 ◽  
Vol 14 (2) ◽  
pp. 380-395
Author(s):  
Jiramate Punpim ◽  
Somphong Jitman
Keyword(s):  
Positive Integer ◽  
Sufficient Conditions ◽  
Necessary And Sufficient Conditions ◽  
Triangular Numbers ◽  
Triangular Number ◽  
Recursive Formulas ◽  
Necessary And Sufficient ◽  
Positive Integers ◽  
Special Case

Triangular numbers have been of interest and continuously studied due to their beautiful representations, nice properties, and various links with other figurate numbers. For positive integers n and l, the nth l-isosceles triangular number is a generalization of triangular numbers defined to be the arithmetic sum of the formT(n, l) = 1 + (1 + l) + (1 + 2l) + · · · + (1 + (n − 1)l).In this paper, we focus on characterizations and identities for isosceles triangular numbers as well as their links with other figurate numbers. Recursive formulas for constructions of isosceles triangular numbers are given together with necessary and sufficient conditions for a positive integer to be a sum of isosceles triangular  numbers. Various identities for isosceles triangular numbers are established. Results on triangular numbers can be viewed as a special case.

Sign in / Sign up

Export Citation Format

Share Document