A martingale approach to some Wiener-Hopf problems, II
R. R. London; Henry P. Mc Kean; L. C. G. Rogers; David Williams
Séminaire de probabilités de Strasbourg (1982)
- Volume: 16, page 68-90
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topLondon, R. R., et al. "A martingale approach to some Wiener-Hopf problems, II." Séminaire de probabilités de Strasbourg 16 (1982): 68-90. <http://eudml.org/doc/113415>.
@article{London1982,
author = {London, R. R., Mc Kean, Henry P., Rogers, L. C. G., Williams, David},
journal = {Séminaire de probabilités de Strasbourg},
keywords = {random time change; Wiener-Hopf factorization},
language = {eng},
pages = {68-90},
publisher = {Springer - Lecture Notes in Mathematics},
title = {A martingale approach to some Wiener-Hopf problems, II},
url = {http://eudml.org/doc/113415},
volume = {16},
year = {1982},
}
TY - JOUR
AU - London, R. R.
AU - Mc Kean, Henry P.
AU - Rogers, L. C. G.
AU - Williams, David
TI - A martingale approach to some Wiener-Hopf problems, II
JO - Séminaire de probabilités de Strasbourg
PY - 1982
PB - Springer - Lecture Notes in Mathematics
VL - 16
SP - 68
EP - 90
LA - eng
KW - random time change; Wiener-Hopf factorization
UR - http://eudml.org/doc/113415
ER -
References
top- 1. M.T. Barlow, L.C.G. Rogers, and David Williams, Wiener-Hopf factorization for matrices, Seminaire de Probabilités XIV, SpringerLecture Notes in Math.784, 324-331, 1980. Zbl0429.15007MR580138
- 2. H. Dym and H.P. Mc Kean, Gaussian processes, function theory, and the inverse spectral problem, Academic Press, New York, 1976. Zbl0327.60029MR448523
- 3. Priscilla Greenwood and Jim Pitman, Fluctuating identities for Lévy processes and splitting at the maximum, Adv. Appl. Prob.12, 893-902, 1980. Zbl0443.60037MR588409
- 4. K. Itô and H.P. Mc Kean, Diffusion processes and their sample paths, Springer, Berlin, 1965. Zbl0127.09503
- 5. J.F.C. Kingman, Markov transition probabilities, II; completely monotone functions, Z. Wahrscheinlichkeitstheorie & verw. Geb.6, 248-270, 1967. Zbl0201.50402
- 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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