A Wiener-Hopf Type Method for a General Random Walk with a Two-Sided Boundary

From MaRDI portal
Publication:5328443

DOI10.1214/aoms/1177703855zbMath0124.33604OpenAlexW2093047882WikidataQ56815610 ScholiaQ56815610MaRDI QIDQ5328443

Johannes H. B. Kemperman

Publication date: 1963

Published in: The Annals of Mathematical Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aoms/1177703855




Related Items (22)

Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic optionsSequential testing for exponential and pareto distributionsTwo-boundary problems for semi-Markov walk with a linear driftIntersections of the interval and reflections for a semi-Markov walk with linear driftThree-term asymptotic expansions for the moments of the random walk with triangular distributed interference of chanceConvolution equation with a kernel represented by gamma distributionsOn the number of claims until ruin in a two-barrier renewal risk model with Erlang mixturesExact calculation of the distributions of the stopping times of two types of truncated SPRT for the mean of the exponential distributionDistributional Properties of CUSUM Stopping TimesLimit theorems in a boundary crossing problem for random walksTHE WIENER-HOPF TECHNIQUE AND DISCRETELY MONITORED PATH-DEPENDENT OPTION PRICINGOn some boundary crossing problems for Gaussian random walksAsymptotic expansions for the moments of the Gaussian random walk with two barriersThe oscillating random walkOn a walk in a strip with inhibitory boundariesFluctuation identities with continuous monitoring and their application to the pricing of barrier optionsHilbert transform, spectral filters and option pricingDistributional Properties of CUSUM Stopping Times and Stopped ProcessesIntersections of an Interval By a Difference of a Compound Poisson Process and a Compound Renewal ProcessProperties of factorization operators in boundary crossing problems for random walksOn the Asymptotics of the Ruin ProbabilityAsymptotic expansions in a boundary problem







This page was built for publication: A Wiener-Hopf Type Method for a General Random Walk with a Two-Sided Boundary