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DTSTART:19700329T010000
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CATEGORIES:Isaac Newton Institute Seminar Series
SUMMARY:Computing the Wiener-Hopf factors for Levy process
es: Lecture 2 - Alexey Kuznetsov (York University
(Canada))
DTSTART;TZID=Europe/London:20190808T154500
DTEND;TZID=Europe/London:20190808T170000
UID:TALK128248AThttp://talks.cam.ac.uk
URL:http://talks.cam.ac.uk/talk/index/128248
DESCRIPTION:The Wiener-Hopf factorization is a fundamental res
ult in the theory of Levy processes\; it provides
a wealth of information about the first exit of th
e underlying process from a half-line. The main go
al of these lectures is to show how to use complex
-analytic methods to obtain explicit formulas for
Wiener-Hopf factors for several important classes
of Levy processes. We will start with processes wi
th jumps of rational transform\, then we will disc
uss the class of stable processes\, explaining how
one could recover from the Wiener-Hopf factors th
e distribution of the supremum of the process at a
fixed time. Finally\, we will talk about the diff
icult problem of how a Levy process exits an inter
val\, which turns out to be related to Wiener-Hopf
factorization for certain 2x2 matrices. This latt
er problem is wide open for processes with double-
sided jumps and we will discuss what is currently
known for stable processes. \;

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LOCATION:Seminar Room 1\, Newton Institute
CONTACT:info@newton.ac.uk
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