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A temporal factorization at the maximum for certain positive self-similar Markov processesVidmar, Matija, 1988-Za spektralno negativen samo-podoben proces Markova na nenegativnih realnih številih s s.g. končnim globalnim supremum je izpeljana pogojna Wiener-Hopfova faktorizacija na maksimumu časa absorpcije v ... ničli, pri čemer pogojimo na globalni supremum in na skok na globalnem supremumu. V povezanem rezultatu je določena Laplaceova transformiranka časa absorpcije (na dogodku, da proces ne gre nad določen nivo) pod nobenimi drugimi pogoji (kot npr. da ima proces povrnljivo razširitev in/ali, da je absorbiran v ničli zvezno), kar posploši nekatere obstojoče rezultate v literaturi.Source: Journal of Applied Probability. - ISSN 0021-9002 (Vol. 57, iss. 4, Dec 2020, str. 1045-1069)Type of material - article, component part ; adult, seriousPublish date - 2020Language - englishCOBISS.SI-ID - 42135043
Author
Vidmar, Matija, 1988-
Topics
spektralno negativni Léyjevi procesi |
pozitivni samo-podobni procesi Markova |
razklopitev na maksimumu |
Wiener-Hopfova faktorizacija |
martingali |
časovne substitucije |
spectrally negative Lévy processes |
positive self-similar Markov processes |
splitting at the maximum |
Wiener-Hopf factorization |
martingales |
time-changes
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Vidmar, Matija, 1988- | 37670 |
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