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- Asmussen, Sören
(författare)
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A probabilistic look at the Wiener-Hopf equation
- 1998
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Ingår i: SIAM Review. - 0036-1445. ; 40:2, s. 189-201
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Tidskriftsartikel (refereegranskat)abstract
- Existence, uniqueness, and asymptotic properties of solutions Z to the Wiener-Hopf integral equation Z(x) = z(x) + integral(-infinity)(x) Z(x - y)F(dy), x greater than or equal to 0, are discussed by purely probabilistic methods, involving random walks, supermartingales, coupling, the Hewitt-Savage 0-1 law, ladder heights, and exponential change of measure.
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