Keywords
- Local Martingale
- Springer Lecture Note
- Duality Principle
- Dual Equation
- Levy Process
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References
R.R. London, H.P. McKean, L.C.G. Rogers and David Williams, ‘A martingale approach to some Wiener-Hopf problems, I'. Séminaire de Probabilités XVI, Springer Lecture Notes in Math., 920, 1982, 41–67.
_____, ‘A martingale approach to some Wiener-Hopf problems, II', i.b.i.d., 68–90.
L.C.G. Rogers and David Williams, ‘Time-substitution based on fluctuating additive functionals (Wiener-Hopf factorization for infinitesimal generators)', Séminaire de Probabilités XIV, Springer Lecture Notes in Math. 784, 332–342.
L.C.G. Rogers, ‘Wiener-Hopf factorization for diffusions and Lévy processes', Proc. London Math. Soc. (3), 67 (1983), 177–191.
_____, ‘A new identity for real Lévy processes', Ann. Inst. H. Poincaré, Sec. B, Vol. 20.
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© 1984 Springer-Verlag
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Baker, N. (1984). Some integral equalities in Wiener-Hopf theory. In: Truman, A., Williams, D. (eds) Stochastic Analysis and Applications. Lecture Notes in Mathematics, vol 1095. Springer, Berlin, Heidelberg. https://doi.org/10.1007/BFb0099129
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DOI: https://doi.org/10.1007/BFb0099129
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Print ISBN: 978-3-540-13891-4
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