Wiener-Hopf factorisation of Brownian motion

DOI10.1007/BF00964370zbMath0661.60095MaRDI QIDQ1113212

Paul McGill

Publication date: 1989

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

zbMATH Keywords

additive functionaltime changeWiener-Hopf factorisationovershoot of a Lévy process

Mathematics Subject Classification ID

Brownian motion (60J65) Local time and additive functionals (60J55)

Related Items (4)

On a remarkable functional equation in the theory of generalized Dunkl operators and transformations of elliptic genera ⋮ Some explicit distributions related to the first exit time from a bounded interval for certain functionals of Brownian motion ⋮ Conditioning a reflected one-dimensional diffusion via its canonical decomposition ⋮ Jacobi elliptic functions and change of variable in a convolution

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• A winding problem for a resonator driven by a white noise
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• Some eigenvalue identities for Brownian motion
• Fluctuation theory in continuous time
• Maxima of sums of random variables and suprema of stable processes
• A Heuristic Exposition of Wiener's Mathematical Theory of Prediction and Filtering

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