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Further results for ladder processes in continuous time

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  • Prabhu, N. U.
  • Rubinovitch, Michael

Abstract

The distribution of ladder variables is obtained for the class of processes with stationary independent increments for which they are almost surely positive. This result is used to derive some related distributions. It is proved that a Wiener-Hopf factorization completely analogous to the one for random walks holds if and only if the process is compound Poisson with zero drift.

Suggested Citation

  • Prabhu, N. U. & Rubinovitch, Michael, 1973. "Further results for ladder processes in continuous time," Stochastic Processes and their Applications, Elsevier, vol. 1(2), pages 151-168, April.
    • Handle: RePEc:eee:spapps:v:1:y:1973:i:2:p:151-168
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