The uniqueness of the Wiener-Hopf factorisation of Lévy processes and random walks

Abstract

We prove that the spatial Wiener-Hopf factorisation of a Lévy process or random walk without killing is unique.

15 pages

Cited by in corpus (1)

• Bivariate Bernstein-gamma functions, potential measures, and asymptotics of exponential functionals of Lévy processes