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Some integral equalities in Wiener-Hopf theory

Part of the Lecture Notes in Mathematics book series (LNM,volume 1095)

Keywords

  • Local Martingale
  • Springer Lecture Note
  • Duality Principle
  • Dual Equation
  • Levy Process

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References

  1. 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.

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  2. _____, ‘A martingale approach to some Wiener-Hopf problems, II', i.b.i.d., 68–90.

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  3. 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.

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  4. L.C.G. Rogers, ‘Wiener-Hopf factorization for diffusions and Lévy processes', Proc. London Math. Soc. (3), 67 (1983), 177–191.

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  5. _____, ‘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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  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-540-13891-4

  • Online ISBN: 978-3-540-39103-6

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