Analytic proof of Pecherskii-Rogozin identity and Wiener-Hopf factorization

DOI10.1137/S0040585X97984929MaRDI QIDQ2882286zbMATH OpenOpenAlexFDO

Authors Alexey Kuznetsov

Publication date 4 May 2012

Published in Theory of Probability and its Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/s0040585x97984929

zbMATH Keywords

integral equationRiemann boundary value problemWiener-Hopf factorizationPecherskii-Rogozin identitySokhotsky's formulasLévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51)

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Cited in

(8)

• Spectral analysis of stable processes on the positive half-line
• Fluctuation theory for Lévy processes with completely monotone jumps
• Factorization identities for reflected processes, with applications
• On the Wiener-Hopf factorization for Lévy processes with bounded positive jumps
• On extrema of stable processes
• Markov additive friendships
• Extensions of regularity for a Lévy process
• VOTRE LÉVY RAMPE-T-IL?

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