Solving the Wiener-Hopf equation with a probabilistic kernel

DOI10.1007/S10559-006-0054-YMaRDI QIDQ2371675zbMATH OpenOpenAlexFDO

Authors Vladimir I. Norkin

Publication date 5 July 2007

Published in Cybernetics and Systems Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10559-006-0054-y

zbMATH Keywords

compressing mappingsconvergenceexistenceintegral equationsisotonic operatorsmethod of successive approximationsuniquenessWiener-Hopf equations

Mathematics Subject Classification ID

Integral equations of the convolution type (Abel, Picard, Toeplitz and Wiener-Hopf type) (45E10) Random integral equations (45R05) Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic integral equations (60H20)

Review text

The author considers the integral equation \[ \varphi(x)=-\int_0^\infty\varphi(y)dK(x-y)=f(x),\quad x\geq 0\tag{1} \] with the conditions \[ \varphi(x)\leq c<\infty ,\quad \lim_{x\to\infty}\varphi(x)=c\tag{2} \] where \(K\) is a continuous distribution function. Using the Birkhoff-Tarski fixed point theorem the author proves an existence theorem for the problem (1), (2). Moreover, sufficient conditions for the uniqueness of the solution of the problem and estimates for the rate of convergence are given.

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Cites work

• A Probabilistic Look at the Wiener--Hopf Equation
• scientific article; zbMATH DE number 3789264 (Why is no real title available?)
• scientific article; zbMATH DE number 1102528 (Why is no real title available?)
• The Wiener-Hopf equation whose kernel is a probability density
• Wiener-Hopf equations and their applications in probability theory

Cited in

(14)

• Distributional solutions of the Wiener-Hopf integral and integro- differential equations
• On the inhomogeneous conservative Wiener-Hopf equation
• The Wiener-Hopf equation in measures with probability kernel
• On the uniqueness of the solution to the Wiener-Hopf equation with probability kernel
• A Wiener-Hopf integral equation with a nonsymmetric kernel in the supercritical case
• The discrete Wiener-Hopf equation whose kernel is a probability distribution with positive drift
• The Wiener-Hopf equation with probability kernel of oscillating type
• Self-insurance of investor under repeating catastrophic risks
• Extremum problem for the Wiener-Hopf equation
• A weak approximated solution for a subclass of Wiener-Hopf integral equation
• scientific article; zbMATH DE number 4006948 (Why is no real title available?)
• A Probabilistic Look at the Wiener--Hopf Equation
• On the existence of L¹(R) solutions to wiener-Hopf type equations
• Generalized Wiener-Hopf equations with directly Riemann integrable inhomogeneous term

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