scientific article; zbMATH DE number 3763004

MaRDI QIDQ3945340zbMATH OpenFDO

Authors R. R. London, Henry P. McKean, L. C. G. Rogers, David Williams

Publication date 1982

Full work available at URL http://www.numdam.org/item?id=SPS_1982__16__68_0, https://eudml.org/doc/113415

zbMATH Keywords

random time changeWiener-Hopf factorization

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Continuous-time Markov processes on discrete state spaces (60J27) Probabilistic potential theory (60J45) Boundary theory for Markov processes (60J50) Brownian motion (60J65)

Cited in

(11)

• Wiener-Hopf factorisation of Brownian motion
• A note on martingale inequalities for fluid models
• Pricing exotic options in a regime switching economy: a Fourier transform method
• First-passage times of regime switching models
• The tax identity for Markov additive risk processes
• A structure-preserving doubling algorithm for nonsymmetric algebraic Riccati equation
• Erlangian Approximations for Finite-Horizon Ruin Probabilities
• A correction note on: ``When the `bull' meets the `bear' -- a first passage time problem for a hidden Markov process
• Wiener-Hopf factorization for time-inhomogeneous Markov chains and its application
• Efficient computation of Wiener-Hopf factorization of Markov-modulated Brownian motion
• Pricing and hedging defaultable participating contracts with regime switching and jump risk

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