10,265 research outputs found
Distributional properties of exponential functionals of Levy processes
We study the distribution of the exponential functional
I(\xi,\eta)=\int_0^{\infty} \exp(\xi_{t-}) \d \eta_t, where and
are independent L\'evy processes. In the general setting using the theories of
Markov processes and Schwartz distributions we prove that the law of this
exponential functional satisfies an integral equation, which generalizes
Proposition 2.1 in Carmona et al "On the distribution and asymptotic results
for exponential functionals of Levy processes". In the special case when
is a Brownian motion with drift we show that this integral equation leads to an
important functional equation for the Mellin transform of , which
proves to be a very useful tool for studying the distributional properties of
this random variable. For general L\'evy process ( being Brownian
motion with drift) we prove that the exponential functional has a smooth
density on , but surprisingly the second derivative at zero
may fail to exist. Under the additional assumption that has some positive
exponential moments we establish an asymptotic behaviour of \p(I(\xi,\eta)>x)
as , and under similar assumptions on the negative exponential
moments of we obtain a precise asympotic expansion of the density of
as . Under further assumptions on the L\'evy process
one is able to prove much stronger results about the density of the
exponential functional and we illustrate some of the ideas and techniques for
the case when has hyper-exponential jumps.Comment: In this version we added a remark after Theorem 1 about extra
conditions required for validity of equation (2.3
The extended hypergeometric class of L\'evy processes
With a view to computing fluctuation identities related to stable processes,
we review and extend the class of hypergeometric L\'evy processes explored in
Kuznetsov and Pardo (arXiv:1012.0817). We give the Wiener-Hopf factorisation of
a process in the extended class, and characterise its exponential functional.
Finally, we give three concrete examples arising from transformations of stable
processes.Comment: 22 page
Boundary Dynamics Driven Entanglement
We will show how it is possible to generate entangled states out of
unentangled ones on a bipartite system by means of dynamical boundary
conditions. The auxiliary system is defined by a symmetric but not self-adjoint
Hamiltonian and the space of self-adjoint extensions of the bipartite system is
studied. It is shown that only a small set of them leads to separable dynamics
and they are characterized. Various simple examples illustrating this
phenomenon are discussed, in particular we will analyze the hybrid system
consisting on a planar quantum rotor and a spin system under a wide class of
boundary conditions.Comment: 26 pages, 5 figure
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