COOKIES: By using this website you agree that we can place Google Analytics Cookies on your device for performance monitoring. |

University of Cambridge > Talks.cam > Isaac Newton Institute Seminar Series > Computing the Wiener-Hopf factors for Levy processes: Lecture 1

## Computing the Wiener-Hopf factors for Levy processes: Lecture 1Add to your list(s) Download to your calendar using vCal - Alexey Kuznetsov (York University (Canada))
- Tuesday 06 August 2019, 15:45-17:00
- Seminar Room 1, Newton Institute.
If you have a question about this talk, please contact INI IT. WHT - Bringing pure and applied analysis together via the Wiener-Hopf technique, its generalisations and applications The Wiener-Hopf factorization is a fundamental result in the theory of Levy processes; it provides a wealth of information about the first exit of the underlying process from a half-line. The main goal 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 with jumps of rational transform, then we will discuss the class of stable processes, explaining how one could recover from the Wiener-Hopf factors the distribution of the supremum of the process at a fixed time. Finally, we will talk about the difficult problem of how a Levy process exits an interval, which turns out to be related to Wiener-Hopf factorization for certain 2×2 matrices. This latter problem is wide open for processes with double-sided jumps and we will discuss what is currently known for stable processes. This talk is part of the Isaac Newton Institute Seminar Series series. ## This talk is included in these lists:- All CMS events
- Featured lists
- INI info aggregator
- Isaac Newton Institute Seminar Series
- School of Physical Sciences
- Seminar Room 1, Newton Institute
- bld31
Note that ex-directory lists are not shown. |
## Other listsCambridge Climate Lecture Series Evolution and Development Seminar Series Cambridge University Library Friends programmes## Other talksSimulating liquidity stress in the derivatives market An approximate version of Jackson's conjecture The Value and the Limitation of a Data Driven System for Making Decisions on Places Live imaging of nascent mesoderm across gastrulation highlights cell-environment interdependence Mobile Knowledges before the Classics (Global Imaginaries through the Ages) Domestication and the Origins of Agriculture (Domestication Practices across History) |