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

We study the Wiener-Hopf factorization for Levy processes with bounded positive jumps and arbitrary negative jumps. Using the results from the theory of entire functions of Cartwright class we prove that the positive Wiener-Hopf factor can…

We characterize the value function and the optimal stopping time for a large class of optimal stopping problems where the underlying process to be stopped is a fairly general Markov process. The main result is inspired by recent findings…

By viewing Einstein's field equations -- reduced to two dimensions -- as an integrable system, one can simultaneously obtain exact solutions to both the equations themselves and their associated Lax pair via a canonical Wiener-Hopf…

This paper is concerned with the Wiener-Hopf indices of unimodular rational matrix functions on the imaginary axis. These indices play a role in the Fredholm theory for Wiener-Hopf integral operators. Our main result gives formulas for the…

An analytic proof is proposed of Wiener's theorem on factorization of positive definite matrix-functions.

We prove a Hirzebruch-Riemann-Roch type formula for global matrix factorizations. This is established by an explicit realization of the abstract Hirzebruch-Riemann-Roch type formula of Shklarov. We also show a Grothendieck-Riemann-Roch type…

In this paper the Wiener--Hopf factorisation problem is presented in a unified framework with the Riemann--Hilbert factorisation. This allows to establish the exact relationship between the two types of factorisation. In particular, in the…

For a L\'evy process $\xi=(\xi_t)_{t\geq0}$ drifting to $-\infty$, we define the so-called exponential functional as follows \[{\rm{I}}_{\xi}=\int_0^{\infty}e^{\xi_t} dt.\] Under mild conditions on $\xi$, we show that the following…

In this paper we obtain a Wiener-Hopf type factorization for a real-valued arithmetic Brownian motion with time-dependent drift and volatility. To the best of our knowledge, this paper is the very first step towards realizing the objective…

In this paper we introduce a ten-parameter family of L\'{e}vy processes for which we obtain Wiener-Hopf factors and distribution of the supremum process in semi-explicit form. This family allows an arbitrary behavior of small jumps and…

We prove precise stability results for overshoots of Markov additive processes (MAPs) with finite modulating space. Our approach is based on the Markovian nature of overshoots of MAPs whose mixing and ergodic properties are investigated in…

In this paper, we present a general method for obtaining addition theorems of the Weierstrass elliptic function $\wp(z)$ in terms of given parameters. We obtain the classical addition theorem for the Weierstrass elliptic function as a…

In this paper we study the Wiener-Hopf factorization for a class of L\'evy processes with double-sided jumps, characterized by the fact that the density of the L\'evy measure is given by an infinite series of exponential functions with…

In this paper we develop a quantitative Harris theorem with effective control over the constants. A benefit of our methodology is the decoupling of the small set and Lyapunov-Foster Drift conditions. Our methodology allows any small set and…

In this paper, we establish the law of the iterated logarithm for a wide class of non-stationary, continuous-time Markov processes evolving on Polish spaces. Specifically, our result applies to certain additive functionals of processes…

In this paper we study the optimal stopping problem for L\'evy processes studied by Novikov and Shiryayev, Stochastics, 2007 In particular, we are interested in finding the representing measure of the value function. It is seen that that…

This note provides a factorization of a L\'evy pocess over a phase-type horizon $\tau$ given the phase at the supremum, thereby extending the Wiener-Hopf factorization for $\tau$ exponential. One of the factors is defined using time…

We study multivariate generalisations of the classical Wiener--Hopf algebra, which is the C$^*$-algebra generated by the Wiener--Hopf operators, given by the convolutions restricted to convex cones. By the work of Muhly and Renault, this…

We develop a completely new and straightforward method for simulating the joint law of the position and running maximum at a fixed time of a general L\'{e}vy process with a view to application in insurance and financial mathematics.…

In an earlier paper we introduced a notion of Markov automaton, together with parallel operations which permit the compositional description of Markov processes. We illustrated by showing how to describe a system of n dining philosophers,…