Kendall random walk, Williamson transform, and the corresponding Wiener-Hopf factorization

DOI10.1007/S10986-017-9375-YMaRDI QIDQ683364zbMATH OpenOpenAlexFDO

Authors B. H. Jasiulis-Gołdyn, J. Misiewicz

Publication date 6 February 2018

Published in Lithuanian Mathematical Journal (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1501.05873

zbMATH Keywords

random walkPareto distributionMarkov processgeneralized convolutionKendall convolutionweakly stable distributionWilliamson transformWiener-Hopf factorization

Mathematics Subject Classification ID

Characteristic functions; other transforms (60E10) Sums of independent random variables; random walks (60G50) Discrete-time Markov processes on general state spaces (60J05) Convolution as an integral transform (44A35)

Abstract: The paper gives some properties of hitting times and an analogue of the Wiener-Hopf factorization for the Kendall random walk. We show also that the Williamson transform is the best tool for problems connected with the Kendall generalized convolution.

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Cited in

(7)

• Kendall random walks
• How exceptional is the extremal Kendall and Kendall-type convolution
• Cramér-Lundberg model for some classes of extremal Markov sequences
• Understanding the Wiener–Hopf factorization for the simple random walk
• scientific article; zbMATH DE number 7639711 (Why is no real title available?)
• Renewal theory for extremal Markov sequences of Kendall type
• Asymptotic properties of extremal Markov processes driven by Kendall convolution

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