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arXiv · 0906.1223

A note on Wiener-Hopf factorization for Markov Additive processes

Przemyslaw Klusik·Zbigniew Palmowski
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Abstract

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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Przemyslaw Klusik, Zbigniew Palmowski. 2011-10-17. A note on Wiener-Hopf factorization for Markov Additive processes. https://arxiv.org/abs/0906.1223

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