37 research outputs found
Rogers functions and fluctuation theory
Extending earlier work by Rogers, Wiener-Hopf factorisation is studied for a
class of functions closely related to Nevanlinna-Pick functions and complete
Bernstein functions. The name 'Rogers functions' is proposed for this class.
Under mild additional condition, for a Rogers function f, the Wiener--Hopf
factors of f(z)+q, as well as their ratios, are proved to be complete Bernstein
functions in both z and q. This result has a natural interpretation in
fluctuation theory of L\'evy processes: for a L\'evy process X_t with
completely monotone jumps, under mild additional condition, the Laplace
exponents kappa(q;z), kappa*(q;z) of ladder processes are complete Bernstein
functions of both z and q. Integral representation for these Wiener--Hopf
factors is studied, and a semi-explicit expression for the space-only Laplace
transform of the supremum and the infimum of X_t follows.Comment: 70 pages, 2 figure
Random walks are determined by their trace on the positive half-line
We prove that the law of a random walk is determined by the
one-dimensional distributions of for , as
conjectured recently by Lo\"ic Chaumont and Ron Doney. Equivalently, the law of
is determined by its upward space-time Wiener-Hopf factor. Our methods
are complex-analytic.Comment: 6 page