Wiener-Hopf factorization and distribution of extrema for a family of Lévy processes

DOI10.1214/09-AAP673zbMath1222.60038arXiv1011.1790MaRDI QIDQ1958501

Alexey Kuznetsov

Publication date: 4 October 2010

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1011.1790

zbMATH Keywords

Wiener-Hopf factorizationLévy processmeromorphic functioninfinite productsupremum process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Characteristic functions; other transforms (60E10) Functional equations in the complex plane, iteration and composition of analytic functions of one complex variable (30D05)

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