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Wiener-Hopf Factorization for the Normal Inverse Gaussian Process
Daniel Hackmann
We derive the Lévy-Khintchine representation of the Wiener-Hopf factors for the Normal Inverse Gaussian (NIG) process as well as a representation which is similar to the moment gen…
math.PR2016
Karhunen-Loeve expansions of Levy processes
Daniel Hackmann
Karhunen-Loeve expansions (KLE) of stochastic processes are important tools in mathematics, the sciences, economics, and engineering. However, the KLE is primarily useful for those…