Wiener-Hopf Factorization for Convolution Semigroups.
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WISCONSIN UNIV MADISON MATHEMATICS RESEARCH CENTER
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Given a convolution semigroup with the generator A, there exist two other convolution semigroups corresponding to a subordinator and the negative of a subordinator, and with generators A and A- respectively, such that for theta 0 theta I-A theta 1 I-A theta2 I - A- where the constants theta 1, theta 2 and the generators A, A- depend on theta. The domains of A, A- are identical with that of A. Moreover, this factorization is unique. Author
- Statistics and Probability