A note on Wiener-Hopf factorization for Markov additive processes

DOI10.1007/S10959-012-0425-4zbMATH Open1305.60034arXiv0906.1223OpenAlexW1984661459MaRDI QIDQ457101FDOQ457101

Zbigniew Palmowski, Przemysław Klusik

Publication date: 26 September 2014

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Abstract: We prove the Wiener-Hopf factorization for Markov Additive processes. We derive also Spitzer-Rogozin theorem for this class of processes which serves for obtaining Kendall's formula and Fristedt representation of the cumulant matrix of the ladder epoch process. Finally, we also obtain the so-called ballot theorem.

Full work available at URL: https://arxiv.org/abs/0906.1223

zbMATH Keywords

[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=L%EF%BF%BD%EF%BF%BDvy+process&go=Go L��vy process]Wiener-Hopf factorizationMarkov additive process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Continuous-time Markov processes on general state spaces (60J25) Foundations of stochastic processes (60G05)

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Cited In (15)

• Deep factorisation of the stable process. II: Potentials and applications
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