Fluctuations of Lévy processes and scattering theory

DOI10.1090/S0002-9947-09-04791-6zbMath1187.60037arXivmath/0701271OpenAlexW4300198465MaRDI QIDQ3402208

Sonia Fourati

Publication date: 2 February 2010

Published in: Transactions of the American Mathematical Society (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0701271

zbMATH Keywords

Lévy processesscattering theoryWiener-Hopf factorizationfluctuation theoryRiemann-Hilbert factorization

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stable stochastic processes (60G52) Riemann-Hilbert problems in context of PDEs (35Q15) Scattering theory, inverse scattering involving ordinary differential operators (34L25)

Related Items (4)

\(LU\)-factorization versus Wiener-Hopf factorization for Markov chains ⋮ A note on Wiener-Hopf factorization for Markov additive processes ⋮ Joint distributions of some actuarial random vectors for the Cox risk model ⋮ Explicit solutions of the exit problem for a class of Lévy processes; applications to the pricing of double-barrier options

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