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• W2274587130 abstract "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 Levy processes: for a Levy 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." @default.
• W2274587130 created "2016-06-24" @default.
• W2274587130 creator A5005079203 @default.
• W2274587130 date "2013-12-06" @default.
• W2274587130 modified "2023-09-27" @default.
• W2274587130 title "Rogers functions and fluctuation theory" @default.
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