Probabilistic factorization of a quadratic matrix polynomial

DOI10.1017/S0305004100068845MaRDI QIDQ3212088zbMATH OpenOpenAlexFDO

Authors David Williams, Joanne E. Kennedy

Publication date 1990

Published in Mathematical Proceedings of the Cambridge Philosophical Society (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s0305004100068845

zbMATH Keywords

Brownian motionfactorizationlinear eigenvalue problemsemigroup

Mathematics Subject Classification ID

Factorization of matrices (15A23) Matrices over function rings in one or more variables (15A54) Continuous-time Markov processes on discrete state spaces (60J27) Transition functions, generators and resolvents (60J35) Brownian motion (60J65)

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Cites work

• Factorization of matrix functions and singular integral operators

Cited in

(14)

• Probabilistic algorithm for finding roots of linearized polynomials
• Further results for semiregenerative phenomena
• Pricing exotic options in a regime switching economy: a Fourier transform method
• First-passage times of regime switching models
• Wiener-Hopf factorization for arithmetic Brownian motion with time-dependent drift and volatility
• Probabilistic derivation of a q-polynomials transformation formula
• Two-sided reflection of Markov-modulated Brownian motion
• The Expectation of Success Using a Monte Carlo Factoring Method--Some Statistics on Quadratic Class Numbers
• A new look at `Markovian' Wiener-Hopf theory
• LU-factorization versus Wiener-Hopf factorization for Markov chains
• Wiener-Hopf factorization for time-inhomogeneous Markov chains and its application
• Wiener-Hopf factorization technique for time-inhomogeneous finite Markov chains
• The two-sided exit problem for an additive functional of a time-inhomogeneous Markov chain
• Efficient computation of Wiener-Hopf factorization of Markov-modulated Brownian motion

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