A martingale approach to some Wiener-Hopf problems, I

R. R. London; H. P. Mc Kean; L. C. G. Rogers; David Williams

Séminaire de probabilités de Strasbourg (1982)

  • Volume: 16, page 41-67

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London, R. R., et al. "A martingale approach to some Wiener-Hopf problems, I." Séminaire de probabilités de Strasbourg 16 (1982): 41-67. <http://eudml.org/doc/113397>.

@article{London1982,
author = {London, R. R., Mc Kean, H. P., Rogers, L. C. G., Williams, David},
journal = {Séminaire de probabilités de Strasbourg},
keywords = {random time change; local-time; transition semigroup; Wiener-Hopf factorization},
language = {eng},
pages = {41-67},
publisher = {Springer - Lecture Notes in Mathematics},
title = {A martingale approach to some Wiener-Hopf problems, I},
url = {http://eudml.org/doc/113397},
volume = {16},
year = {1982},
}

TY - JOUR
AU - London, R. R.
AU - Mc Kean, H. P.
AU - Rogers, L. C. G.
AU - Williams, David
TI - A martingale approach to some Wiener-Hopf problems, I
JO - Séminaire de probabilités de Strasbourg
PY - 1982
PB - Springer - Lecture Notes in Mathematics
VL - 16
SP - 41
EP - 67
LA - eng
KW - random time change; local-time; transition semigroup; Wiener-Hopf factorization
UR - http://eudml.org/doc/113397
ER -

References

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  1. 1. M.T. Barlow, L.C.G. Rogers, and David Williams, Wiener-Hopf factorization for matrices, Séminaire de Probabilités XIV, SpringerLecture Notes in Math.784, 324-331, 1980. Zbl0429.15007MR580138
  2. 2. H. Dymand H.P. Mc Kean, Gaussian processes, function theory, and the inverse spectral problem, Academic Press, New York, 1976. Zbl0327.60029MR448523
  3. 3. Priscilla Greenwood and Jim Pitman, Fluctuation identities for Lévy processes and splitting at the maximum, Adv. Appl. Prob.12, 893-902, 1980. Zbl0443.60037MR588409
  4. 4. K. Itô and H.P. Mc Kean, Diffusion processes and their sample paths, Springer, Berlin, 1965. Zbl0127.09503
  5. 5. J.F.C. Kingman, Markov transition probabilities, II; Completely monotone functions, Z. Wahrscheinlichkeitstheorie & verw. Geb.6, 248-270, 1967. Zbl0201.50402
  6. 6. L.C.G. Rogers and David Williams, Time-substitution based on fluctuating additive functionals (Wiener-Hopf factorization for infinitesimal generators), Séminaire de Probabilités XIV, SpringerLecture Notes in Math.784, 332-342. Zbl0442.60075MR580139

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