Wiener-Hopf factorization for arithmetic Brownian motion with time-dependent drift and volatility

DOI10.1016/J.SPA.2022.11.002MaRDI QIDQ2680397zbMATH OpenOpenAlexFDO

Authors Ziteng Cheng, Ruoting Gong, Tomasz R. Bielecki

Publication date 2 January 2023

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2006.01887

zbMATH Keywords

Wiener-Hopf factorizationFeller semigrouptime-homogenizationMarkov familytime-inhomogeneous Lévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Brownian motion (60J65) Continuous-time Markov processes on general state spaces (60J25)

Abstract: In this paper we obtain a Wiener-Hopf type factorization for a real-valued arithmetic Brownian motion with time-dependent drift and volatility. To the best of our knowledge, this paper is the very first step towards realizing the objective of deriving Wiener-Hopf type factorizations for (real-valued) time-inhomogeneous Levy processes. In order to prove our main theorem, we derive some new results regarding time-inhomogeneous noisy Wiener-Hopf factorization. We demonstrate that in the special case of the arithmetic Brownian motion with constant drift and volatility our main result agrees with classical Wiener-Hopf factorization for this particular time-homogenous Levy process.

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Cited in

(2)

• Wiener-Hopf factorisation of Brownian motion
• Wiener-Hopf factorization for time-inhomogeneous Markov chains and its application

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