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On suprema of Lévy processes and application in risk theory

Renming SongZoran Vondraček — 2008

Annales de l'I.H.P. Probabilités et statistiques

Let =− where is a general one-dimensional Lévy process and an independent subordinator. Consider the times when a new supremum of is reached by a jump of the subordinator . We give a necessary and sufficient condition in order for such times to be discrete. When this is the case and drifts to −∞, we decompose the absolute supremum of at these times, and derive a Pollaczek–Hinchin-type formula for the distribution function of the supremum.

Minimal thinness for subordinate Brownian motion in half-space

Panki KimRenming SongZoran Vondraček — 2012

Annales de l’institut Fourier

We study minimal thinness in the half-space H : = { x = ( x ˜ , x d ) : x ˜ d - 1 , x d > 0 } for a large class of subordinate Brownian motions. We show that the same test for the minimal thinness of a subset of H below the graph of a nonnegative Lipschitz function is valid for all processes in the considered class. In the classical case of Brownian motion this test was proved by Burdzy.

Heat kernel estimates for the Dirichlet fractional Laplacian

Zhen-Qing ChenPanki KimRenming Song — 2010

Journal of the European Mathematical Society

We consider the fractional Laplacian - ( - Δ ) α / 2 on an open subset in d with zero exterior condition. We establish sharp two-sided estimates for the heat kernel of such a Dirichlet fractional Laplacian in C 1 , 1 open sets. This heat kernel is also the transition density of a rotationally symmetric α -stable process killed upon leaving a C 1 , 1 open set. Our results are the first sharp twosided estimates for the Dirichlet heat kernel of a non-local operator on open sets.

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