On the Riemann-Hilbert factorization problem for positive definite functions
Probability
2015-11-23 v1
Abstract
We give several general theorems concerning positive definite solutions of Riemann-Hilbert problems on the real line. Furthermore, as an example, we apply our theory to the characteristic function of a class of L\'{e}vy processes and we find the distribution of their extrema at a given stopping time.
Cite
@article{arxiv.1506.00977,
title = {On the Riemann-Hilbert factorization problem for positive definite functions},
author = {Dan Kucerovsky and Amir T. P. Najafabadi and Aydin Sarraf},
journal= {arXiv preprint arXiv:1506.00977},
year = {2015}
}