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Wiener-hopf factorization revisited and some applications

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Alili, Larbi and Doney, R. A. (1999) Wiener-hopf factorization revisited and some applications. Stochastics and Stochastic Reports, Volume 66 (Number 1-2). pp. 87-102. doi:10.1080/17442509908834187

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Official URL: http://dx.doi.org/10.1080/17442509908834187

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Abstract

A reformulation of the classical Wiener-Hopf factorization for random walks is given; this is applied to the study of the asymptotic behaviour of the ladder variables, the distribution of the maximum and the renewal mass function in the bivariate renewal process of ladder times and heights.

Item Type: Journal Article
Divisions: Faculty of Science > Statistics
Journal or Publication Title: Stochastics and Stochastic Reports
Publisher: Taylor & Francis
ISSN: 1045-1129
Official Date: 1999
Dates:
DateEvent
1999Published
Volume: Volume 66
Number: Number 1-2
Number of Pages: 15
Page Range: pp. 87-102
DOI: 10.1080/17442509908834187
Status: Peer Reviewed
Publication Status: Published
Access rights to Published version: Restricted or Subscription Access

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