A Wiener-Hopf factorization related potential measure for spectrally negative Lévy process

DOI10.1007/S11464-020-0861-XzbMath1469.60144OpenAlexW3106381560MaRDI QIDQ2048165

Man Chen, Xian Yuan Wu, Xiao-Wen Zhou

Publication date: 5 August 2021

Published in: Frontiers of Mathematics in China (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11464-020-0861-x

zbMATH Keywords

Wiener-Hopf factorizationscale functionexcursion theorypotential measuredrawdown timespectrally negative Lévy process (SNLP)

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Factorization theory (including Wiener-Hopf and spectral factorizations) of linear operators (47A68) Other generalizations (nonlinear potential theory, etc.) (31C45)

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