A Wiener-Hopf type factorization for the exponential functional of Lévy processes
DOI10.1112/jlms/jds028zbMath1272.60027arXiv1105.0062OpenAlexW2110454027MaRDI QIDQ3143925
Juan Carlos Pardo, Pierre Patie, Mladen Svetoslavov Savov
Publication date: 6 December 2012
Published in: Journal of the London Mathematical Society (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1105.0062
Wiener-Hopf factorizationstationary measureexponential functionalladder height processspectrally positive Lévy processGOU process
Infinitely divisible distributions; stable distributions (60E07) Processes with independent increments; Lévy processes (60G51) Continuous-time Markov processes on general state spaces (60J25) Factorization theory (including Wiener-Hopf and spectral factorizations) of linear operators (47A68)
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