Kendall random walk, Williamson transform and the corresponding Wiener-Hopf factorization

Abstract

The paper gives some properties of hitting times and an analogue of the Wiener-Hopf factorization for the Kendall random walk. We show also that the Williamson transform is the best tool for problems connected with the Kendall generalized convolution.

References in corpus (1)

• Lévy processes and stochastic integrals in the sense of generalized convolutions