On duality and the Spitzer-Pollaczek factorization for random walks

DOI10.1016/S0304-4149(98)00026-XzbMath0932.60055MaRDI QIDQ1805787

Joanne Kennedy

Publication date: 18 November 1999

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

zbMATH Keywords

random walksdualitySpitzer-Pollaczek factorization

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50)

Related Items (1)

Correction note to “A multidimensional ruin problem and an associated notion of duality,” Stochastic Models, 32 (2016) 539–574

Cites Work

• Dual pairs of stopping times for random walk
• Understanding the Wiener–Hopf factorization for the simple random walk
• Symmetric Wiener-Hopf factorisations in Markov additive processes
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