On the Riemann-Hilbert factorization problem for positive definite functions

DOI10.1007/S11117-015-0384-YMaRDI QIDQ331758zbMATH OpenOpenAlexFDO

Authors Aydin Sarraf, Amir T. Payandeh Najafabadi, Dan Kucerovsky

Publication date 27 October 2016

Published in Positivity (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1506.00977

zbMATH Keywords

characteristic functionextremaLévy processpositive definite functionsRiemann-Hilbert problemstopping time

Mathematics Subject Classification ID

Riemann-Hilbert problems in context of PDEs (35Q15) Positive definite functions in one variable harmonic analysis (42A82) Characteristic functions; other transforms (60E10) Stopping times; optimal stopping problems; gambling theory (60G40) Processes with independent increments; Lévy processes (60G51) Extreme value theory; extremal stochastic processes (60G70)

Abstract: We give several general theorems concerning positive definite solutions of Riemann-Hilbert problems on the real line. Furthermore, as an example, we apply our theory to the characteristic function of a class of L'{e}vy processes and we find the distribution of their extrema at a given stopping time.

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Cites work

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Cited in

(4)

• The Riemann-Hilbert problem for singular positive loops
• Solving Riemann-Hilbert problems with meromorphic functions
• Factorizations, Riemann-Hilbert problems and the corona theorem
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