In this paper we study a subordinate Brownian motion with a Gaussian component and a rather general discontinuous part. The assumption on the subordinator is that its Laplace exponent is a complete Bernstein function with a Lévy density satisfying a certain growth condition near zero. The main...

We study the long time behaviour of the speed of a particle moving in Rd under the influence of a random time-dependent potential representing the particle’s environment. The particle undergoes successive scattering events that we model with a Markov chain for which each step represents a...

Multiple-try methods are extensions of the Metropolis algorithm in which the next state of the Markov chain is selected among a pool of proposals. These techniques have witnessed a recent surge of interest because they lend themselves easily to parallel implementations. We consider extended...

Let Q and P be equivalent probability measures and let ψ be a J-dimensional vector of random variables such that dQdP and ψ are defined in terms of a weak solution X to a d-dimensional stochastic differential equation. Motivated by the problem of endogenous completeness in financial economics...