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

DOI10.1007/S10986-017-9375-YzbMATH Open1387.60076arXiv1501.05873OpenAlexW2963752622MaRDI QIDQ683364FDOQ683364

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

Publication date: 6 February 2018

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

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.

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

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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)

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Cited In (7)

• Title not available (Why is that?)
• Asymptotic properties of extremal Markov processes driven by Kendall convolution
• How exceptional is the extremal Kendall and Kendall-type convolution
• Cramér-Lundberg model for some classes of extremal Markov sequences
• Renewal theory for extremal Markov sequences of Kendall type
• Understanding the Wiener–Hopf factorization for the simple random walk
• Kendall random walks

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