Further Results for Ladder Processes in Continuous Time.

Abstract

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. (Author)

Document Details

Document Type
Technical Report
Publication Date
Dec 01, 1971
Accession Number
AD0742906

Entities

People

  • Michael Rubinovitch
  • N. U. Prabhu

Organizations

  • University of Wisconsin–Madison

Tags

Communities of Interest

  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Mathematics
  • Random Walk
  • Stationary

Fields of Study

  • Mathematics

Readers

  • Mathematical Modeling and Probability Theory.