A Note on Wiener–Hopf Factorization for Markov Additive Processes
نویسندگان
چکیده
منابع مشابه
un 2 00 9 A note on Wiener - Hopf factorization for Markov Additive processes
We prove the Wiener-Hopf factorization for Markov Additive processes. We derive also Spitzer-Rogozin theorem for this class of processes which serves for obtaining Kendall’s formula and Fristedt representation of the cumulant matrix of the ladder epoch process. Finally, we also obtain the so-called ballot theorem.
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ژورنال
عنوان ژورنال: Journal of Theoretical Probability
سال: 2012
ISSN: 0894-9840,1572-9230
DOI: 10.1007/s10959-012-0425-4