Wiener-Hopf Factorization of Diffusions and Lévy Processes

DOI10.1112/plms/s3-47.1.177zbMath0524.60070OpenAlexW1995818611MaRDI QIDQ3036418

L. C. G. Rogers

Publication date: 1983

Published in: Proceedings of the London Mathematical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1112/plms/s3-47.1.177

zbMATH Keywords

local timeexcursion theoryPick functionLevy processWiener-Hopf factorisation

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Continuous-time Markov processes on general state spaces (60J25) Integration, integrals of Cauchy type, integral representations of analytic functions in the complex plane (30E20) Brownian motion (60J65) Diffusion processes (60J60) Markov processes (60J99)

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