Related papers: A note on Wiener-Hopf factorization for Markov Add…

The Wiener--Hopf factorisation of a L\'evy or Markov additive process describes the way that it attains new maxima and minima in terms of a pair of so-called ladder height processes. Vigon's theory of friendship for L\'evy processes…

In the work we propose an algorithm for a Wiener -- Hopf factorization of scalar polynomials based on notions of indices and essential polynomials. The algorithm uses computations with finite Toeplitz matrices and permits to obtain…

We define an almost periodic extension of the Wiener algebras in the quaternionic setting and prove a Wiener-Levy type theorem for it, as well as extending the theorem to the matrix-valued case. We prove a Wiener-Hopf factorization theorem…

We consider the Wiener--Hopf factorization problem for a matrix function that is completely defined by its first column: the succeeding columns are obtained from the first one by means of a finite group of permutations. The symmetry of this…

We consider a Markov additive process with a finite phase space and study its path decompositions at the times of extrema, first passage and last exit. For these three families of times we establish splitting conditional on the phase, and…

In this paper we derive the Wiener-Hopf factorization for a finite-state time-inhomogeneous Markov chain. To the best of our knowledge, this study is the first attempt to investigate the Wiener-Hopf factorization for time-inhomogeneous…

This paper introduces a new method for constructing approximate solutions to a class of Wiener--Hopf equations. This is particularly useful since exact solutions of this class of Wiener--Hopf equations, at the moment, cannot be obtained.…

This work contributes to the theory of Wiener-Hopf type factorization for finite Markov chains. This theory originated in the seminal paper Barlow et al. (1980), which treated the case of finite time-homogeneous Markov chains. Since then,…

A matrix factorization problem is considered. The matrix to be factorized is algebraic, has dimension 2 X 2 and belongs to Moiseev's class. A new method of factorization is proposed. First, the matrix factorization problem is reduced to a…

This paper reviews the modern state of the Wiener--Hopf factorization method and its generalizations. The main constructive results for matrix Wiener--Hopf are presented, approximation methods are outlined and the main areas of applications…

Explicit solutions to the non-linear field equations of some gravitational theories can be obtained, by means of a Riemann-Hilbert approach, from a canonical Wiener-Hopf factorisation of certain matrix functions called monodromy matrices.…

We define and study the counterpart of the Wiener algebra in the quaternionic setting, both for the discrete and continuous case. We prove a Wiener-L\'evy type theorem and a factorization theorem. We give applications to Toeplitz and…

For a spectrally negative positive self-similar Markov process with an a.s. finite overall supremum we provide, in tractable detail, a kind of conditional Wiener-Hopf factorization at the maximum of the absorption time at zero, the…

Extending earlier work by Rogers, Wiener-Hopf factorisation is studied for a class of functions closely related to Nevanlinna-Pick functions and complete Bernstein functions. The name 'Rogers functions' is proposed for this class. Under…

In [16], under mild conditions, a Wiener-Hopf type factorization is derived for the exponential functional of proper L\'evy processes. In this paper, we extend this factorization by relaxing a finite moment assumption as well as by…

The continuous analogue of a Toeplitz determinant identity for Wiener-Hopf operators is proved. An example which arises from random matrix theory is studied and an error term for the asymptotics of the determinant is computed.

We establish new Bombieri-Vinogradov type estimates for a wide class of multiplicative arithmetic functions and derive several applications, including: a new proof of a recent estimate by Drappeau and Topacogullari for arithmetical…

Wiener-Hopf factorisation plays an important role in the theory of Toeplitz operators. We consider here Toeplitz operators in the Hardy spaces $H^p$ of the upper half-plane and we review how their Fredholm properties can be studied in terms…

We consider the canonical Wiener-Hopf factorisation of $2 \times 2$ symmetric matrices $\mathcal M$ with respect to a contour $\Gamma$. For the case that the quotient $q$ of the two diagonal elements of $\mathcal M$ is a rational function,…

We study the Wiener--Hopf factorization and the distribution of extrema for general stable processes. By connecting the Wiener--Hopf factors with a certain elliptic-like function we are able to obtain many explicit and general results, such…