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An Overview of Wiener-Hopf Factorization Theory


Oct 16, 2018 - 11:25am to 12:40pm


Rettaliata Engineering Center, Room 121


Ruoting Gong
Department of Applied Mathematics, Illinois Institute of Technology


The Wiener-Hopf factorization theory for Markov processes provides probabilistic interpretations of purely algebraic factorizations of linear operators that are related to these processes. These factorizations are interpreted in terms of functionals of appropriately time-changed processes that are related to the underlying Markov process. In this talk, I will provide a survey on the development of Wiener-Hopf factorization for time-homogeneous Markov chains, Levy processes, and Markov additive processes, and discuss some of our future research objectives. 

Event Type: 

Department of Applied Mathematics - Mathematical Finance and Stochastic Analysis Seminar