Analytic Proof of Pecherskii–Rogozin Identity and Wiener–Hopf Factorization

DOI10.1137/S0040585X97984929zbMath1242.60048OpenAlexW2096946325MaRDI QIDQ2882286

Alexey Kuznetsov

Publication date: 4 May 2012

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/s0040585x97984929

zbMATH Keywords

integral equationRiemann boundary value problemWiener-Hopf factorizationLévy processPecherskii-Rogozin identitySokhotsky's formulas

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51)

Related Items (6)

Fluctuation theory for Lévy processes with completely monotone jumps ⋮ Extensions of Regularity for a Lévy Process ⋮ On the Wiener-Hopf factorization for Lévy processes with bounded positive jumps ⋮ Spectral analysis of stable processes on the positive half-line ⋮ On extrema of stable processes ⋮ Factorization Identities for Reflected Processes, with Applications

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