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

DOI10.1137/S0040585X97984929zbMATH Open1242.60048OpenAlexW2096946325MaRDI QIDQ2882286FDOQ2882286

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

Recommendations

• Understanding the Wiener–Hopf factorization for the simple random walk
• Some aspects of Wiener-Hopf factorization
• A new proof of the Wiener-Hopf factorization via Basu's theorem
• On the Wiener-Hopf factorization for Lévy processes with bounded positive jumps
• Wiener – hopf factorization revisited and some applications

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)

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
• Markov additive friendships
• On extrema of stable processes
• Extensions of regularity for a Lévy process
• VOTRE LÉVY RAMPE-T-IL?

This page was built for publication: Analytic proof of Pecherskii-Rogozin identity and Wiener-Hopf factorization

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2882286)