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01.01.1970 (Thursday)

PR KCL Probability Seminar: The Wiener-Hopf factorisation of Lévy processes

regular seminar Alex Watson (University College London)

at:
15:00 - 16:00
KCL, Strand
room: S4.29
abstract:

The Wiener-Hopf factorisation of a Lévy process has two forms. The first describes how the process makes new maxima and minima, by decomposing it into two so-called 'ladder processes'. The second expresses its characteristic exponent as the product of two functions related to the ladder processes. Since the latter is analytic in nature, the question naturally arises: is such a decomposition unique? The answer has been known for killed Lévy processes since at least Rogozin's work in 1966, but appears to have remained open in general. We show that, indeed, uniqueness holds in all cases. This gives a solid foundation to the 'theory of friendship', which allows one to construct a Lévy process with known Wiener-Hopf factorisation. The results also hold for random walks. Joint work with Leif Döring (Mannheim), Mladen Savov (Sofia) and Lukas Trottner (Aarhus).

Keywords: Lévy processes, Wiener-Hopf Factorisation