Transactions of the American Mathematical Society

Author(s): Sonia Fourati
Journal: Trans. Amer. Math. Soc. 362 (2010), 441-475.
MSC (2000): Primary 60G51, 34L25; Secondary 60G52, 35Q15
Posted: August 18, 2009
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Abstract: Initial work by Spitzer was extended to show that the behavior of the bivariate processes $\displaystyle(X_t,\inf_{0\leq s\leq t}X_s)$ or $\displaystyle (X_t,\sup _{0\leq s\leq t}X_s)$ , where

is a Lévy process, can be entirely reconstructed on the basis of the Wiener-Hopf factorization of the Lévy exponent of

. This paper is meant to establish that a similar device can be used to investigate the trivariate Markov process $\displaystyle (X_t,\inf_{0\leq s\leq t}X_s,\sup_{0\leq s\leq t} X_s)$ . This involves substituting (2,2)-matrices for the scalar functions involved in the Spitzer-type factorization. The computation of this matrix from the Lévy exponent of

is a Riemann-Hilbert problem, which is the same as the one appearing in the inverse scattering problem.

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Retrieve articles in Transactions of the American Mathematical Society with MSC (2000): 60G51, 34L25, 60G52, 35Q15

Sonia Fourati
Affiliation: Laboratoire de Probabilities, University of Paris VI, 4 Place Jussieu Tour 56, 75252 Paris Cedex 5, France
Address at time of publication: Place Emile Blondel 76131 Mont Saint Aignan, France
Email: sonia.fourati@upmc.fr

DOI: 10.1090/S0002-9947-09-04791-6
PII: S 0002-9947(09)04791-6
Keywords: L\'evy processes, fluctuation theory, Wiener-Hopf factorization, scattering theory, Riemann-Hilbert factorization
Received by editor(s): February 8, 2007
Received by editor(s) in revised form: March 28, 2008
Posted: August 18, 2009
Copyright of article: Copyright 2009, American Mathematical Society
The copyright for this article reverts to public domain after 28 years from publication.

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