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- W3033320457 abstract "In this paper we obtain a Wiener-Hopf type factorization for a real-valued arithmetic Brownian motion with time-dependent drift and volatility. To the best of our knowledge, this paper is the very first step towards realizing the objective of deriving Wiener-Hopf type factorizations for (real-valued) time-inhomogeneous Levy processes. In order to prove our main theorem, we derive some new results regarding time-inhomogeneous noisy Wiener-Hopf factorization. We demonstrate that in the special case of the arithmetic Brownian motion with constant drift and volatility our main result agrees with classical Wiener-Hopf factorization for this particular time-homogenous Levy process." @default.
- W3033320457 created "2020-06-12" @default.
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- W3033320457 date "2020-06-02" @default.
- W3033320457 modified "2023-09-27" @default.
- W3033320457 title "Wiener-Hopf Factorization for Arithmetic Brownian Motion with Time-Dependent Drift and Volatility" @default.
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- W3033320457 doi "https://doi.org/10.48550/arxiv.2006.01887" @default.
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