Kendall random walk, Williamson transform, and the corresponding Wiener-Hopf factorization

DOI10.1007/s10986-017-9375-yzbMath1387.60076arXiv1501.05873OpenAlexW2963752622MaRDI QIDQ683364

Jolanta K. Misiewicz, Barbara H. Jasiulis-Gołdyn

Publication date: 6 February 2018

Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1501.05873

zbMATH Keywords

Markov processWiener-Hopf factorizationrandom walkPareto distributiongeneralized convolutionweakly stable distributionKendall convolutionWilliamson transform

Mathematics Subject Classification ID

Convolution as an integral transform (44A35) Characteristic functions; other transforms (60E10) Sums of independent random variables; random walks (60G50) Discrete-time Markov processes on general state spaces (60J05)

Related Items (5)

Renewal theory for extremal Markov sequences of Kendall type ⋮ Cramér-Lundberg model for some classes of extremal Markov sequences ⋮ Asymptotic properties of extremal Markov processes driven by Kendall convolution ⋮ How exceptional is the extremal Kendall and Kendall-type convolution ⋮ Unnamed Item

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