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Further results for ladder processes in continuous time

The distribution of ladder variables is obtained for the class of processes with stationary independent increments for which they are almost surely positive. This result is used to derive some related distributions. It is proved that a Wiener-Hopf factorization completely analogous to the one for random walks holds if and only if the process is compound Poisson with zero drift.
Year of publication:
1973
Authors: Prabhu, N. U. ; Rubinovitch, Michael
Published in:
Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 1.1973, 2, p. 151-168
Publisher: Elsevier
Type of publication: Article
Source:
Persistent link: https://www.econbiz.de/10008874231
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