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Wiener-Hopf methods, decompositions, and factorisation identities for maxima and minima of homogeneous random processes
Published online by Cambridge University Press: 01 July 2016
Abstract
Some Wiener-Hopf type results are collected, related and given more direct proofs. Spitzer's random-walk method for the Wiener-Hopf integral equation also produces his factorisation relating functionals of maxima and minima. Transform equations are interpreted as decompositions of time-changed processes. Discrete- and continuous-time versions are related. Prabhu's factorisation for generators is equivalent to Fristedt's Lévy measure factorisation and to process decomposition.
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- Copyright © Applied Probability Trust 1975
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