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A martingale approach to some Wiener-Hopf problems, I

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Séminaire de Probabilités XVI 1980/81

Part of the book series: Lecture Notes in Mathematics ((SEMPROBAB,volume 920))

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References

  1. 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.

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  2. H. DYM and H. P. McKEAN, Gaussian processes, function theory, and the inverse spectral problem, Academic Press, New York, 1976.

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  3. Priscilla GREENWOOD and Jim PITMAN, Fluctuation identities for Lévy processes and splitting at the maximum, Adv. Appl. Prob. 12, 893–902, 1980.

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  4. K. ITÔ and H. P. McKEAN, Diffusion processes and their sample paths, Springer, Berlin, 1965.

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  5. J. F. C. KINGMAN, Markov transition probabilities, II; Completely monotone functions, Z. Wahrscheinlichkeitstheorie & verw. Geb. 6, 248–270, 1967.

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  6. 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.

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Author information

Authors and Affiliations

  1. Department of Mathematics, University College, Singleton Park, SA2 8PP, Swansea, UK

    R. R. London

  2. Courant Institute of Mathematical Sciences, New York University, 251 Mercer Street, 10012, New York, N. Y., USA

    H. P. McKean

  3. Department of Statistics, University of Warwick, CU4 7AL, UK

    L. C. G. Rogers

  4. Department of Mathematics, University College, Singleton Park, SA2 8PP, Swansea, UK

    David Williams

Authors
  1. R. R. London
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  2. H. P. McKean
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  3. L. C. G. Rogers
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  4. David Williams
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Editor information

Jacques Azéma Marc Yor

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© 1982 Springer-Verlag

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London, R.R., McKean, H.P., Rogers, L.C.G., Williams, D. (1982). A martingale approach to some Wiener-Hopf problems, I. In: Azéma, J., Yor, M. (eds) Séminaire de Probabilités XVI 1980/81. Lecture Notes in Mathematics, vol 920. Springer, Berlin, Heidelberg. https://doi.org/10.1007/BFb0092769

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  • DOI: https://doi.org/10.1007/BFb0092769

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  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-540-11485-7

  • Online ISBN: 978-3-540-39158-6

  • eBook Packages: Springer Book Archive

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