Independent Subordinator Research Articles

Workload distributions in ASIP queueing networks

The workload of a generalized n-site asymmetric simple inclusion process (ASIP) is investigated. Three models are analyzed. The first model is a serial network for which the steady-state Laplace–Stieltjes transform (LST) of the total workload in the first k sites (\(k\le n\)) just after gate openings and at arbitrary epochs is derived. In a special case, the former (just after gate openings) turns out to be an LST of the sum of k independent random variables. The second model is a 2-site ASIP with leakage from the first queue. Gate openings occur at exponentially distributed intervals, and the external input processes to the stations are two independent subordinator Lévy processes. The steady-state joint workload distribution right after gate openings, right before gate openings and at arbitrary epochs is derived. The third model is a shot-noise counterpart of the second model where the workload at the first queue behaves like a shot-noise process. The steady-state total amount of work just before a gate opening turns out to be a sum of two independent random variables.

On discrete-time semi-Markov processes

In the last years, several authors studied a class of continuous-time semi-Markov processes obtained by time-changing Markov processes by hitting times of independent subordinators. Such processes are governed by integro-differential convolution equations of generalized fractional type. The aim of this paper is to develop a discrete-time counterpart of such a theory and to show relationships and differences with respect to the continuous time case. We present a class of discrete-time semi-Markov chains which can be constructed as time-changed Markov chains and we obtain the related governing convolution type equations. Such processes converge weakly to those in continuous time under suitable scaling limits.

Distribution of suprema for generalized risk processes

We study a generalized risk process , where Y is a Lévy process, C an independent subordinator and τ an independent exponential time. Dropping the standard assumptions on the finite expectations of the processes Y and C and the net profit condition, we derive a Pollaczek–Khinchine type formula for the supremum of the dual process on which generalizes previously known results. We also discuss which assumptions are necessary for deriving this formula, especially from the point of view of the ladder process.

Potential theory of subordinate killed Brownian motion

Let $W^D$ be a killed Brownian motion in a domain $D\subset {\mathbb R}^d$ and $S$ an independent subordinator with Laplace exponent $\phi$. The process $Y^D$ defined by $Y^D_t=W^D_{S_t}$ is called a subordinate killed Brownian motion. It is a Hunt process with infinitesimal generator $-\phi(-\Delta|_D)$, where $\Delta|_D$ is the Dirichlet Laplacian. In this paper we study the potential theory of $Y^D$ under a weak scaling condition on the derivative of $\phi$. We first show that non-negative harmonic functions of $Y^D$ satisfy the scale invariant Harnack inequality. Subsequently we prove two types of scale invariant boundary Harnack principles with explicit decay rates for non-negative harmonic functions of $Y^D$. The first boundary Harnack principle deals with a $C^{1,1}$ domain $D$ and non-negative functions which are harmonic near the boundary of $D$, while the second one is for a more general domain $D$ and non-negative functions which are harmonic near the boundary of an interior open subset of $D$. The obtained decay rates are not the same, reflecting different boundary and interior behaviors of $Y^D$.

On densities of the product, quotient and power of independent subordinators

We obtain the closed form expressions for the densities of the product, quotient, power and scalar multiple of independent stable subordinators. Similar results for the independent inverse stable subordinators are discussed. This is achieved by expressing the densities of stable and inverse stable subordinators in terms of the Fox's H-function.

Further study on Hunt’s hypothesis (H) for Lévy processes

Getoor's conjecture that essentially all Levy processes satisfy (H) is a long-standing open problem in potential theory. In the beginning of the paper, we summarize the main results obtained so far for the problem. Then, we present two new necessary and sufficient conditions for the validity of (H). Furthermore, we give applications of these new criteria. First, we give explicit constructions of Levy processes satisfying (H) in a context where previously known results could not be applied. Second, we show that a large class of pure jump subordinators can be decomposed into the summation of two independent subordinators such that both of them satisfy (H).

On the class of distributions of subordinated Lévy processes and bases

This article studies the class of distributions obtained by subordinating Lévy processes and Lévy bases by independent subordinators and meta-times. To do this we derive properties of a suitable mapping obtained via Lévy mixing. We show that our results can be used to solve the so-called recovery problem for general Lévy bases as well as for moving average processes which are driven by subordinated Lévy processes.

A Distributional Equality for Suprema of Spectrally Positive Lévy Processes

Let $$Y$$ be a spectrally positive Levy process with $${\mathbb {E}}Y_1\!<\!0$$ and $$C$$ an independent subordinator with finite expectation, and let $$X\!=\!Y\!+\!C$$ . A curious distributional equality proved in Huzak et al. (Ann Appl Probab 14:1278–1397, 2004) states that if $${\mathbb {E}}X_1<0$$ , then $$\sup _{0\le t <\infty }Y_t$$ and the supremum of $$X$$ just before the first time its new supremum is reached by a jump of $$C$$ have the same distribution. In this paper, we give an alternative proof of an extension of this result and offer an explanation why it is true.

Green function estimates for subordinate Brownian motions: Stable and beyond

A subordinate Brownian motion $X$ is a L\'evy process which can be obtained by replacing the time of the Brownian motion by an independent subordinator. In this paper, when the Laplace exponent $\phi$ of the corresponding subordinator satisfies some mild conditions, we first prove the scale invariant boundary Harnack inequality for $X$ on arbitrary open sets. Then we give an explicit form of sharp two-sided estimates on the Green functions of these subordinate Brownian motions in any bounded $C^{1,1}$ open set. As a consequence, we prove the boundary Harnack inequality for $X$ on any $C^{1,1}$ open set with explicit decay rate. Unlike {KSV2, KSV4}, our results cover geometric stable processes and relativistic geometric stable process, i.e. the cases when the subordinator has the Laplace exponent $$\phi(\lambda)=\log(1+\lambda^{\alpha/2}) (0<\alpha\leq 2, d > \alpha)$$ and $$\phi(\lambda)=\log(1+(\lambda+m^{\alpha/2})^{2/\alpha}-m) (0<\alpha<2,\, m>0, d >2) .$$

Two-sided Green function estimates for killed subordinate Brownian motions

A subordinate Brownian motion is a L\'evy process which can be obtained by replacing the time of the Brownian motion by an independent subordinator. The infinitesimal generator of a subordinate Brownian motion is $-\phi(-\Delta)$, where $\phi$ is the Laplace exponent of the subordinator. In this paper, we consider a large class of subordinate Brownian motions without diffusion component and with $\phi$ comparable to a regularly varying function at infinity. This class of processes includes symmetric stable processes, relativistic stable processes, sums of independent symmetric stable processes, sums of independent relativistic stable processes, and much more. We give sharp two-sided estimates on the Green functions of these subordinate Brownian motions in any bounded $\kappa$-fat open set $D$. When $D$ is a bounded $C^{1,1}$ open set, we establish an explicit form of the estimates in terms of the distance to the boundary. As a consequence of such sharp Green function estimates, we obtain a boundary Harnack principle in $C^{1,1}$ open sets with explicit rate of decay.

Asymptotic properties of the sample paths of additive L&eacute;vy processes

In this paper we study the asymptotic properties of the sample paths of the sum of finite independent subordinators. We obtain the limsup and liminf of the rates of growth of the process at the origin and infinity. Furthermore we deduce the uniform result on the asymptotic behavior of the process at the origin.

On suprema of Lévy processes and application in risk theory

Let $\wh{; ; ; X}; ; ; =C-Y$ where $Y$ is a general one-dimensional Levy process and $C$ an independent subordinator. Consider the times when a new supremum of $\wh{; ; ; X}; ; ; $ is reached by a jump of the subordinator $C$. We give a necessary and sufficient condition in order for such times to be discrete. When this is the case and $\wh{; ; ; X}; ; ; $ drifts to $-\infty$, we decompose the absolute supremum of $\wh{; ; ; X}; ; ; $ at these times, and derive a Pollaczek-Hinchin-type formula for the distribution function of the supremum.

Electronic Foreign-Exchange Markets and Passage Events of Independent Subordinators

We set up a model for electronic foreign-exchange markets, suggesting subordinators to represent sellers' and buyers' offers. Its analysis naturally leads to the study of level passage events. The classical level passage event concerns the joint law of the time, height, and jump size observed when a real-valued stochastic process first exceeds a given level h. We provide an up-to-date treatment in the case when this process is a subordinator, and extend these results to a multivariate setting.

Electronic Foreign-Exchange Markets and Passage Events of Independent Subordinators

We set up a model for electronic foreign-exchange markets, suggesting subordinators to represent sellers' and buyers' offers. Its analysis naturally leads to the study of level passage events. The classical level passage event concerns the joint law of the time, height, and jump size observed when a real-valued stochastic process first exceeds a given level h. We provide an up-to-date treatment in the case when this process is a subordinator, and extend these results to a multivariate setting.

Ruin probabilities for competing claim processes

Let C1, C2,…,Cm be independent subordinators with finite expectations and denote their sum by C. Consider the classical risk process X(t) = x + ct - C(t). The ruin probability is given by the well-known Pollaczek–Khinchin formula. If ruin occurs, however, it will be caused by a jump of one of the subordinators Ci. Formulae for the probability that ruin is caused by Ci are derived. These formulae can be extended to perturbed risk processes of the type X(t) = x + ct - C(t) + Z(t), where Z is a Lévy process with mean 0 and no positive jumps.

Ruin probabilities for competing claim processes

Let C 1, C 2,…,C m be independent subordinators with finite expectations and denote their sum by C. Consider the classical risk process X(t) = x + ct - C(t). The ruin probability is given by the well-known Pollaczek–Khinchin formula. If ruin occurs, however, it will be caused by a jump of one of the subordinators C i . Formulae for the probability that ruin is caused by C i are derived. These formulae can be extended to perturbed risk processes of the type X(t) = x + ct - C(t) + Z(t), where Z is a Lévy process with mean 0 and no positive jumps.

Stability of feed-forward fluid networks with Lévy input

We consider a stochastic fluid network with independent subordinator inputs to the various stations and deterministic internal flow which is of feed-forward type. We show that under suitable conditions the process of fluid contents in the station has a limiting distribution, where the limit holds in total variation and is independent of the initial condition. We also show that this limiting distribution is of product form only for trivial setups.

Stability of feed-forward fluid networks with Lévy input

We consider a stochastic fluid network with independent subordinator inputs to the various stations and deterministic internal flow which is of feed-forward type. We show that under suitable conditions the process of fluid contents in the station has a limiting distribution, where the limit holds in total variation and is independent of the initial condition. We also show that this limiting distribution is of product form only for trivial setups.

Stability and nonproduct form of stochastic fluid networks with Lévy inputs

We consider a stochastic fluid network with inputs which are independent subordinators. We show that under some natural conditions the distribution of the fluid content process converges in total variation to a proper limit and that the limiting distribution has a positive mass at the origin. As a consequence of the methodology used, we obtain upper and lower bounds for the expected values of this limiting distribution. For the two-dimensional case, under certain conditions, explicit formulas for the means, variances and covariance of the steady-state fluid content are given. Further, for the two-dimensional case, it is shown that, other than for trivial setups, the limiting distribution cannot have product form.