A Note on Wiener–Hopf Factorization for Markov Additive Processes

Przemysław Klusik () and Zbigniew Palmowski ()
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Przemysław Klusik: University of Wrocław
Zbigniew Palmowski: University of Wrocław

Journal of Theoretical Probability, 2014, vol. 27, issue 1, 202-219

Abstract: Abstract 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.

Keywords: Levy process; Wiener–Hopf factorization; 60G05; 60G51; 60J25; 60J75 (search for similar items in EconPapers)
Date: 2014
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DOI: 10.1007/s10959-012-0425-4

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