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Time-substitution based on fluctuating additive functionals (wiener-hopf factorization for infinitesimal generators)

  • L. C. G. Rogers
  • David Williams
Conference paper
Part of the Lecture Notes in Mathematics book series (LNM, volume 784)

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References

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    AZEMA, J. and YOR, M. Une solution simple au problème de Skorokhod Séminaire de Probabilités XIII, 90–115, Springer Lecture Notes 721, 1979.Google Scholar
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    BARLOW, M.T., ROGERS, L.C.G. and DAVID WILLIAMS, Wiener-Hopf factorisation for matrices this volume.Google Scholar
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    BINGHAM, N.H. Fluctuation theory in continuous time, Adv. Appl. Probability 7 705–766, 1975.MathSciNetCrossRefzbMATHGoogle Scholar
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    GNEDENKO, B.V. and KOLMOGOROV, A.N. Limit Theorems for Sums of Independent Random Variables Addison-Wesley, Reading, Mass., 1954.zbMATHGoogle Scholar
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    McKEAN, H.P. A winding problem for a resonator driven by a white noise J. Math. Kyoto Univ. 2–2, 227–235, (1963).MathSciNetzbMATHGoogle Scholar
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    MEYER, P.A. L'operateur carré du champ, Séminaire de Probabilités X, 142–162, 1976, Springer Lecture Notes 511.Google Scholar
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    ROGERS, L.C.G. and PITMAN, J.W. Markov functions submitted to Ann. Probability.Google Scholar

Copyright information

© Springer-Verlag 1980

Authors and Affiliations

  • L. C. G. Rogers
    • 1
  • David Williams
    • 1
  1. 1.Department of Pure MathematicsUniversity CollegeSwanseaGreat Britain

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