Wiener-Hopf Factorization for a Family of Lévy Processes Related to Theta Functions
نویسندگان
چکیده
منابع مشابه
Wiener-Hopf factorization for a family of Lévy processes related to theta functions
In this paper we study the Wiener–Hopf factorization for a class of Lévy processes with double-sided jumps, characterized by the fact that the density of the Lévymeasure is given by an infinite series of exponential functions with positive coefficients. We express the Wiener–Hopf factors as infinite products over roots of a certain transcendental equation, and provide a series representation fo...
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ژورنال
عنوان ژورنال: Journal of Applied Probability
سال: 2010
ISSN: 0021-9002,1475-6072
DOI: 10.1239/jap/1294170516