In this paper we consider an absorbing Markov chain with finite number of states. We focus especially on random walk on transient states. We present a graph reduction method and prove its validity. Using this method we build algorithms which allow us to determine the distribution of time to absorption, in particular we compute its moments and the probability of absorption. The main idea used in the proofs consists in observing a nondecreasing sequence of stopping times. Random walk on the initial...

Refining previously known estimates, we give large-strike asymptotics for the implied volatility of Merton's and Kou's jump diffusion models. They are deduced from call price approximations by transfer results of Gao and Lee. For the Merton model, we also analyse the density of the underlying and show that it features an interesting "almost power law" tail.

Motivated by classical considerations from risk theory, we investigate boundary crossing problems for refracted Lévy processes. The latter is a Lévy process whose dynamics change by subtracting off a fixed linear drift (of suitable size) whenever the aggregate process is above a pre-specified level. More formally, whenever it exists, a refracted Lévy process is described by the unique strong solution to the stochastic differential equation dUt=−δ1{Ut>b} dt+dXt, where X={Xt : t≥0} is a Lévy...

Let N be a simply connected nilpotent Lie group and let $S=N⋊{\left(ℝ⁺\right)}^d$ be a semidirect product, ${\left(ℝ⁺\right)}^d$ acting on N by diagonal automorphisms. Let (Qₙ,Mₙ) be a sequence of i.i.d. random variables with values in S. Under natural conditions, including contractivity in the mean, there is a unique stationary measure ν on N for the Markov process Xₙ = MₙXn-1 + Qₙ. We prove that for an appropriate homogeneous norm on N there is χ₀ such that $li{m}_{t\to \infty }{t}^{\chi ₀}\nu x:\left|x\right|>t=C>0$. In particular, this applies to classical Poisson kernels on symmetric spaces,...

We consider a semidynamical system $(X,ℬ,\Phi ,w)$. We introduce the cone $𝔸$ of continuous additive functionals defined on $X$ and the cone $𝒫$ of regular potentials. We define an order relation “$\le$” on $𝔸$ and a specific order “$\prec$” on $𝒫$. We will investigate the properties of $𝔸$ and $𝒫$ and we will establish the relationship between the two cones.

Let $(B_t,t\in [0,1])$ be a linear Brownian motion starting from 0 and denote by $(L_t\left(x\right),t\ge 0,x\in ℝ)$ its local time. We prove that the spatial trajectories of the Brownian local time have the same Besov-Orlicz regularity as the Brownian motion itself (i.e. for all t>0, a.s. the function $x\to L_t\left(x\right)$ belongs to the Besov-Orlicz space $B_{M_2,\infty }^{1/2}$ with $M_2\left(x\right)=e^{{\left|x\right|}^2}-1$). Our result is optimal.

Let $(B_t,t\ge 0)$ be a linear Brownian motion and (L(t,x), t > 0, x ∈ ℝ) its local time. We prove that for all t > 0, the process (L(t,x), x ∈ [0,1]) belongs almost surely to the Besov-Orlicz space $B_{M_1,\infty }^{1/2}$ with $M_1\left(x\right)=e^{\left|x\right|}-1$.

The chemical master equation is a fundamental equation in chemical kinetics. It underlies the classical reaction-rate equations and takes stochastic effects into account. In this paper we give a simple argument showing that the solutions of a large class of chemical master equations are bounded in weighted ℓ1-spaces and possess high-order moments. This class includes all equations in which no reactions between two or more already present molecules and further external reactants occur that add mass...