A Probabilistic Look at the Wiener--Hopf Equation

DOI10.1137/S0036144596303534zbMath0926.60040OpenAlexW2161412255MaRDI QIDQ4210336

Soren Asmussen

Publication date: 21 September 1998

Published in: SIAM Review (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/s0036144596303534

zbMATH Keywords

integral equationrandom walkfirst passage timeladder heightscouplingexponential change of measurerenewal equationsubexponential distributionsupermartingaleLindley equationspread-out distribution

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Queueing theory (aspects of probability theory) (60K25)

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