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A probabilistic loo...
A probabilistic look at the Wiener-Hopf equation
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- Asmussen, Sören (author)
- Lund University,Lunds universitet,Matematisk statistik,Matematikcentrum,Institutioner vid LTH,Lunds Tekniska Högskola,Mathematical Statistics,Centre for Mathematical Sciences,Departments at LTH,Faculty of Engineering, LTH
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(creator_code:org_t)
- 1998
- 1998
- English.
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In: SIAM Review. - 0036-1445. ; 40:2, s. 189-201
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Abstract
Subject headings
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- 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.
Subject headings
- NATURVETENSKAP -- Matematik -- Sannolikhetsteori och statistik (hsv//swe)
- NATURAL SCIENCES -- Mathematics -- Probability Theory and Statistics (hsv//eng)
Keyword
- spread-out distribution
- renewal equation
- random walk
- Lindley equation
- ladder heights
- integral equation
- first passage time
- exponential change of measure
- subexponential distribution
- coupling
- supermartingale
Publication and Content Type
- art (subject category)
- ref (subject category)
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