A probabilistic look at the WienerHopf equation
(1998) In SIAM Review 40(2). p.189201 Abstract
 Existence, uniqueness, and asymptotic properties of solutions Z to the WienerHopf integral equation Z(x) = z(x) + integral(infinity)(x) Z(x  y)F(dy), x greater than or equal to 0, are discussed by purely probabilistic methods, involving random walks, supermartingales, coupling, the HewittSavage 01 law, ladder heights, and exponential change of measure.
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/record/1273201
 author
 Asmussen, Sören ^{LU}
 organization
 publishing date
 1998
 type
 Contribution to journal
 publication status
 published
 subject
 keywords
 spreadout distribution, renewal equation, random walk, Lindley equation, ladder heights, integral equation, first passage time, exponential change of measure, subexponential distribution, coupling, supermartingale
 in
 SIAM Review
 volume
 40
 issue
 2
 pages
 189  201
 publisher
 Society for Industrial and Applied Mathematics Publications
 external identifiers

 scopus:0032097143
 ISSN
 00361445
 DOI
 10.1137/S0036144596303534
 language
 English
 LU publication?
 yes
 id
 3ba24d0bfaf2489eae2c150702b15eee (old id 1273201)
 alternative location
 http://www.jstor.org/stable/pdfplus/2653331.pdf
 date added to LUP
 20081209 13:49:31
 date last changed
 20180107 10:16:28
@article{3ba24d0bfaf2489eae2c150702b15eee, abstract = {Existence, uniqueness, and asymptotic properties of solutions Z to the WienerHopf integral equation Z(x) = z(x) + integral(infinity)(x) Z(x  y)F(dy), x greater than or equal to 0, are discussed by purely probabilistic methods, involving random walks, supermartingales, coupling, the HewittSavage 01 law, ladder heights, and exponential change of measure.}, author = {Asmussen, Sören}, issn = {00361445}, keyword = {spreadout distribution,renewal equation,random walk,Lindley equation,ladder heights,integral equation,first passage time,exponential change of measure,subexponential distribution,coupling,supermartingale}, language = {eng}, number = {2}, pages = {189201}, publisher = {Society for Industrial and Applied Mathematics Publications}, series = {SIAM Review}, title = {A probabilistic look at the WienerHopf equation}, url = {http://dx.doi.org/10.1137/S0036144596303534}, volume = {40}, year = {1998}, }