Wiener-Hopf Factorization for Lévy Processes Having Positive Jumps with Rational Transforms
Wiener-Hopf Factorization for Lévy Processes Having Positive Jumps with Rational Transforms
We show that the positive Wiener-Hopf factor of a Lévy process with positive jumps having a rational Fourier transform is a rational function itself, expressed in terms of the parameters of the jump distribution and the roots of an associated equation. Based on this, we give the closed form of …