A New Proof of the Wiener-Hopf Factorization via Basu's Theorem
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Published:2012-09
Issue:3
Volume:49
Page:876-882
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ISSN:0021-9002
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Container-title:Journal of Applied Probability
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language:en
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Short-container-title:Journal of Applied Probability
Author:
Fralix Brian,Gallagher Colin
Abstract
We illustrate how Basu's theorem can be used to derive the spatial version of the Wiener-Hopf factorization for a specific class of piecewise-deterministic Markov processes. The classical factorization results for both random walks and Lévy processes follow immediately from our result. The approach is particularly elegant when used to establish the factorization for spectrally one-sided Lévy processes.
Publisher
Cambridge University Press (CUP)
Subject
Statistics, Probability and Uncertainty,General Mathematics,Statistics and Probability
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