Abstract
Existence, uniqueness, and asymptotic properties of solutions Z to the Wiener-Hopf integral equation Z(x) = z(x) + integral(-infinity)(x) Z(x - y)F(dy), x greater than or equal to 0, are discussed by purely probabilistic methods, involving random walks, supermartingales, coupling, the Hewitt-Savage 0-1 law, ladder heights, and exponential change of measure.
| Original language | English |
|---|---|
| Pages (from-to) | 189-201 |
| Journal | SIAM Review |
| Volume | 40 |
| Issue number | 2 |
| DOIs | |
| Publication status | Published - 1998 |
Subject classification (UKÄ)
- Probability Theory and Statistics
Free keywords
- spread-out distribution
- renewal equation
- random walk
- Lindley equation
- ladder heights
- integral equation
- first passage time
- exponential change of measure
- subexponential distribution
- coupling
- supermartingale
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