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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 ISSN 1045-1129.
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Official URL: http://dx.doi.org/10.1080/17442509908834187
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, Engineering and Medicine > Science > Statistics | ||||
| Journal or Publication Title: | Stochastics and Stochastic Reports | ||||
| Publisher: | Taylor & Francis | ||||
| ISSN: | 1045-1129 | ||||
| Official Date: | 1999 | ||||
| Dates: |
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| 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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