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A martingale approach to some Wiener-Hopf problems, I

  • R. R. London
  • H. P. McKean
  • L. C. G. Rogers
  • David Williams
Conference paper
Part of the Lecture Notes in Mathematics book series (LNM, volume 920)

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References

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    M. T. BARLOW, L. C. G. ROGERS, and DAVID WILLIAMS Wiener-Hopf factorization for matrices, Séminaire de Probabilités XIV, Springer Lecture Notes in Math. 784, 324–331, 1980.MathSciNetCrossRefzbMATHGoogle Scholar
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    H. DYM and H. P. McKEAN, Gaussian processes, function theory, and the inverse spectral problem, Academic Press, New York, 1976.zbMATHGoogle Scholar
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    Priscilla GREENWOOD and Jim PITMAN, Fluctuation identities for Lévy processes and splitting at the maximum, Adv. Appl. Prob. 12, 893–902, 1980.MathSciNetCrossRefzbMATHGoogle Scholar
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    K. ITÔ and H. P. McKEAN, Diffusion processes and their sample paths, Springer, Berlin, 1965.zbMATHGoogle Scholar
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    J. F. C. KINGMAN, Markov transition probabilities, II; Completely monotone functions, Z. Wahrscheinlichkeitstheorie & verw. Geb. 6, 248–270, 1967.MathSciNetCrossRefzbMATHGoogle Scholar
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    L. C. G. ROGERS and DAVID WILLIAMS, Time-substitution based on fluctuating additive functionals (Wiener-Hopf factorization for infinitesimal generators), Séminaire de Probabilités XIV, Springer Lecture Notes in Math. 784, 332–342.Google Scholar

Copyright information

© Springer-Verlag 1982

Authors and Affiliations

  • R. R. London
    • 1
  • H. P. McKean
    • 2
  • L. C. G. Rogers
    • 3
  • David Williams
    • 4
  1. 1.Department of MathematicsUniversity CollegeSwanseaUK
  2. 2.Courant Institute of Mathematical SciencesNew York UniversityNew YorkUSA
  3. 3.Department of StatisticsUniversity of WarwickUK
  4. 4.Department of MathematicsUniversity CollegeSwanseaUK

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