A note on Wiener-Hopf factorization for Markov Additive processes

Details A note on Wiener-Hopf factorization for Markov Additive processes A note on Wiener-Hopf factorization for Markov Additive processes

2009-06-05

arxiv.org/abs/0906.1223v2

Mathematics

Probability

Scientific paper

We prove the Wiener-Hopf factorization for Markov Additive processes. We
derive also Spitzer-Rogozin theorem for this class of processes which serves
for obtaining Kendall's formula and Fristedt representation of the cumulant
matrix of the ladder epoch process. Finally, we also obtain the so-called
ballot theorem.

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