A Note on Wiener–Hopf Factorization for Markov Additive Processes

被引：0
|
作者：
Przemysław Klusik
Zbigniew Palmowski
机构：
[1] University of Wrocław,
来源：
Journal of Theoretical Probability | 2014年 / 27卷
关键词：
Levy process; Wiener–Hopf factorization; 60G05; 60G51; 60J25; 60J75;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
We prove the Wiener–Hopf factorization for Markov additive processes. We derive also Spitzer–Rogozin theorem for this class of processes which serves for obtaining Kendall’s formula and Fristedt representation of the cumulant matrix of the ladder epoch process. Finally, we also obtain the so-called ballot theorem.
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页码：202 / 219
页数：17
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