Kendall random walk, Williamson transform and the corresponding Wiener-Hopf factorization
Probability
2016-12-12 v2
Abstract
The paper gives some properties of hitting times and an analogue of the Wiener-Hopf factorization for the Kendall random walk. We show also that the Williamson transform is the best tool for problems connected with the Kendall generalized convolution.
Keywords
Cite
@article{arxiv.1501.05873,
title = {Kendall random walk, Williamson transform and the corresponding Wiener-Hopf factorization},
author = {B. H. Jasiulis-Gołdyn and J. K. Misiewicz},
journal= {arXiv preprint arXiv:1501.05873},
year = {2016}
}