Wiener-Hopf Factorization for Lévy Processes Having Positive Jumps with Rational Transforms

DOI10.1239/jap/1208358956zbMath1136.60330OpenAlexW2024909804MaRDI QIDQ5459913

Alan L. Lewis, Ernesto Mordecki

Publication date: 30 April 2008

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

Full work available at URL: https://doi.org/10.1239/jap/1208358956

zbMATH Keywords

Wiener-Hopf factorizationruin probabilityLévy processladder processrational Laplace transformBaxter-Donsker formula

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51)

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