An Overview of Wiener-Hopf Factorization Theory
Host
Department of Applied Mathematics
Speaker
Ruoting Gong
Department of Applied Mathematics, Illinois Institute of Technology
Description
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 as functionals of appropriately time-changed processes associated with 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 Topic
Mathematical Finance, Stochastic Analysis, and Machine Learning