A martingale approach to some Wiener-Hopf problems, I

London, R. R.; Mc Kean, H. P.; Rogers, L. C. G.; Williams, David

London, R. R. ; Mc Kean, H. P. ; Rogers, L. C. G. ; Williams, David

Séminaire de probabilités de Strasbourg, Tome 16 (1982), pp. 41-67.

MR Zbl | 3 citations dans Numdam

@article{SPS_1982__16__41_0,
     author = {London, R. R. and Mc Kean, H. P. and Rogers, L. C. G. and Williams, David},
     title = {A martingale approach to some {Wiener-Hopf} problems, {I}},
     journal = {S\'eminaire de probabilit\'es de Strasbourg},
     pages = {41--67},
     publisher = {Springer - Lecture Notes in Mathematics},
     volume = {16},
     year = {1982},
     mrnumber = {658671},
     zbl = {0485.60072},
     language = {en},
     url = {http://archive.numdam.org/item/SPS_1982__16__41_0/}
}

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London, R. R.; Mc Kean, H. P.; Rogers, L. C. G.; Williams, David. A martingale approach to some Wiener-Hopf problems, I. Séminaire de probabilités de Strasbourg, Tome 16 (1982), pp. 41-67. http://archive.numdam.org/item/SPS_1982__16__41_0/

Bibliographie
Cité par

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. | Numdam | MR | Zbl

2. H. Dymand H.P. Mc Kean, Gaussian processes, function theory, and the inverse spectral problem, Academic Press, New York, 1976. | MR | Zbl

3. Priscilla Greenwood and Jim Pitman, Fluctuation identities for Lévy processes and splitting at the maximum, Adv. Appl. Prob. 12, 893-902, 1980. | MR | Zbl

4. K. Itô and H.P. Mc Kean, Diffusion processes and their sample paths, Springer, Berlin, 1965. | Zbl

5. J.F.C. Kingman, Markov transition probabilities, II; Completely monotone functions, Z. Wahrscheinlichkeitstheorie & verw. Geb. 6, 248-270, 1967. | Zbl

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. | Numdam | MR | Zbl