Understanding the Wiener–Hopf factorization for the simple random walk

DOI10.2307/3215047zbMath0805.60061OpenAlexW2318073669MaRDI QIDQ4305662

Joanne Kennedy

Publication date: 13 October 1994

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/3215047

zbMATH Keywords

time-reversalWiener-Hopf identityladder height distributionssplitting about the minimum

Mathematics Subject Classification ID

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

Related Items (4)

Extremes of Markov-additive processes with one-sided jumps, with queueing applications ⋮ The Joint Density of the Surplus Before and After Ruin in the Sparre Andersen Model ⋮ On duality and the Spitzer-Pollaczek factorization for random walks ⋮ Hitting probabilities and hitting times for stochastic fluid flows

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