Time-substitution based on fluctuating additive functionals (Wiener-Hopf factorization for infinitesimal generators)

L. C. G. Rogers; David Williams

Séminaire de probabilités de Strasbourg (1980)

  • Volume: 14, page 332-342

How to cite

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Rogers, L. C. G., and Williams, David. "Time-substitution based on fluctuating additive functionals (Wiener-Hopf factorization for infinitesimal generators)." Séminaire de probabilités de Strasbourg 14 (1980): 332-342. <http://eudml.org/doc/113296>.

@article{Rogers1980,
author = {Rogers, L. C. G., Williams, David},
journal = {Séminaire de probabilités de Strasbourg},
keywords = {fluctuating additive functionals; time substitution; transition semigroup; Wiener-Hopf factorization},
language = {eng},
pages = {332-342},
publisher = {Springer - Lecture Notes in Mathematics},
title = {Time-substitution based on fluctuating additive functionals (Wiener-Hopf factorization for infinitesimal generators)},
url = {http://eudml.org/doc/113296},
volume = {14},
year = {1980},
}

TY - JOUR
AU - Rogers, L. C. G.
AU - Williams, David
TI - Time-substitution based on fluctuating additive functionals (Wiener-Hopf factorization for infinitesimal generators)
JO - Séminaire de probabilités de Strasbourg
PY - 1980
PB - Springer - Lecture Notes in Mathematics
VL - 14
SP - 332
EP - 342
LA - eng
KW - fluctuating additive functionals; time substitution; transition semigroup; Wiener-Hopf factorization
UR - http://eudml.org/doc/113296
ER -

References

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  1. [1] Azema, J. and Yor M., Une solution simple au problème de SkorokhodSéminaire de Probabilités XIII, 90-115, SpringerLecture Notes721, 1979. Zbl0414.60055MR544782
  2. [2] Barlow, M.T., Rogers, L.C.G.and David Williams, Wiener-Hopf factorisation for matrices this volume. Zbl0429.15007
  3. [3] Bingham, N.H.Fluctuation theory in continuous time, Adv. Appl. Probability7705-766, 1975. Zbl0322.60068MR386027
  4. [4] Gnedenko, B.V. and Kolmogorov, A.N.Limit Theorems for Sums of Independent Random VariablesAddison-Wesley, Reading, Mass., 1954. Zbl0056.36001MR62975
  5. [5] McKean, H.P.A winding problem for a resonator driven by a white noiseJ. Math. Kyoto Univ.2-2, 227-235, 1963. Zbl0119.34701MR156389
  6. [6] Meyer, P.A.L'operateur carré du champ, Séminaire de Probabilités X, 142-162, 1976, SpringerLecture Notes511. 
  7. [7] Rogers, L.C.G. and Pitman, J.W.Markov functions submitted to Ann. Probability. Zbl0466.60070MR624684

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