Brownian motion, excursions, and matrix factors

Paul Mc Gill

Séminaire de probabilités de Strasbourg (1998)

  • Volume: 32, page 412-425

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Mc Gill, Paul. "Brownian motion, excursions, and matrix factors." Séminaire de probabilités de Strasbourg 32 (1998): 412-425. <http://eudml.org/doc/113999>.

@article{McGill1998,
author = {Mc Gill, Paul},
journal = {Séminaire de probabilités de Strasbourg},
keywords = {Wiener-Hopf factorization; Brownian motion; matrix function},
language = {eng},
pages = {412-425},
publisher = {Springer - Lecture Notes in Mathematics},
title = {Brownian motion, excursions, and matrix factors},
url = {http://eudml.org/doc/113999},
volume = {32},
year = {1998},
}

TY - JOUR
AU - Mc Gill, Paul
TI - Brownian motion, excursions, and matrix factors
JO - Séminaire de probabilités de Strasbourg
PY - 1998
PB - Springer - Lecture Notes in Mathematics
VL - 32
SP - 412
EP - 425
LA - eng
KW - Wiener-Hopf factorization; Brownian motion; matrix function
UR - http://eudml.org/doc/113999
ER -

References

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  1. 1. Bingham N.Fluctuation theory in continuous time. Adv. Appl. Prob.7 (1975) 705-766. Zbl0322.60068MR386027
  2. 2. Dieudonne J.. Eléments d'analyse, Tome 7. Gauthier-Villars, Paris1978. Zbl0402.58011
  3. 3. Feller W.An Introduction to Probability Theory and its Applications, Vol. 1. 3rd Ed., Wiley, New York1968. Zbl0155.23101MR228020
  4. 4. Greenwood P. and Pitman J.Fluctuation identities for Lévy processes and splitting at the maximum. Adv. Appl. Prob., 12 (1980) 893-902. Zbl0443.60037MR588409
  5. 5. Jones D.S.. Wiener-Hopf splitting of a 2 × 2 matrix. Proc. Roy. Soc. Lond. A. 434 (1991) 419-433. Zbl0736.45003MR1121931
  6. 6. Maisonneuve B.Systèmes régénératifs.Astérisque No. 15, Société Mathématique de France, Paris1974. Zbl0285.60049MR350879
  7. 7. Muskelishvili N.I.Singular integral equations. Noordhoff, Groningen1953. Zbl0051.33203MR355494
  8. 8. Ray D.B.Stable processes with absorbing barrier. Trans. Amer. Math. Soc.89 (1958) 16-24. Zbl0083.13804MR105178
  9. 9. Schwartz L.Théorie des distributions. Hermann, Paris1966. Zbl0149.09501MR209834
  10. 10. Williams D.Some aspects of Wiener-Hopf factorization.Phil. Trans. R. Soc. Lond. A. 335 (1991) 593-608. Zbl0735.47010MR1125054

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