Results 101 to 110 of about 133 (130)
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Factorization of a Wiener—Hopf Matrix
IMA Journal of Applied Mathematics, 1984In solving systems of Wiener-Hopf integral equations, one is often led to the problem of finding the Wiener-Hopf factorization \(M=M_+M_-\) of a matrix function M analytic in some strip of the complex plane. Each of \(M_+\) and \(M_-\) is required to be analytic and invertible in one of two half planes, the intersection of which is the strip of ...
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Wiener-Hopf factorization and factorization indices
2010This chapter concerns canonical as well as non-canonical Wiener-Hopf factorization of an operator-valued function which is analytic on a Cauchy contour. Such an operator function is given by a realization with a possibly infinite dimensional Banach space as state space, and with a bounded state operator and with bounded input-output operators.
Harm Bart +2 more
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Wiener-Hopf factorization and realization
2005Explicit formulas for Wiener-Hopf factorization of rational matrix and analytic operator functions relative to a closed contour are constructed. The formulas are given in terms of a realization for the functions. Also formulas for the factorization indices are presented.
H. Bart, I. Gohberg, M. A. Kaashoek
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Wiener–Hopf Factorization Through an Intermediate Space
Integral Equations and Operator Theory, 2014zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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On the matrix factorization of Wiener-Hopf Kernel
Japan Journal of Industrial and Applied Mathematics, 1994A whole variety of techniques has been invented inspired by the seminal paper by \textit{A. A. Khrapkov} [Priklad. Mat. Meh. 35, 677-689 (1971; Zbl 0261.73016)]. The factorization method by \textit{D. S. Jones} [Proc. R. Soc. London, Ser. A 393, 185-192 (1984; Zbl 0545.15005)] is among them.
Mahmodd-ul-Hassan, Ashgar, S.
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LU-Factorization Versus Wiener-Hopf Factorization for Markov Chains
Acta Applicandae Mathematicae, 2013Consider Markov chains with a denumerable state space. The generator of such a chain is an infinite matrix (typically indexed by integers, however, other options are included as well). The author opens an interesting approach to study such matrices via a particular form of the LU-factorization.
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The application of Padeapproximants to Wiener-Hopf factorization
IMA Journal of Applied Mathematics, 2000For approximating Wiener-Hopf kernels, two point Padé approximants are considered. These have the advantage of offering very simple approximate factors of Fourier transformed kernels. The approach leads to explicit kernel factors which are rapid to compute and which have none of the delicate numerical structure found with Cauchy integral ...
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Some aspects of Wiener-Hopf factorization
Philosophical Transactions of the Royal Society of London. Series A: Physical and Engineering Sciences, 1991Wiener-Hopf factorization means many apparently different things, both in theory and in its wide variety of applications. This paper is designed so that almost all of it may be read by non-probabilists, though it makes demands on the reader’s ability to use analogy.
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Efficient Laplace Inversion, Wiener-Hopf Factorization and Pricing Lookbacks
SSRN Electronic Journal, 2012We construct fast and accurate methods for (a) approximate Laplace inversion, (b) approximate calculation of the Wiener-Hopf factors for wide classes of Lévy processes with exponentially decaying Lévy densities, and (c) approximate pricing of lookback options.
SVETLANA BOYARCHENKO +1 more
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Explicit Wiener-Hopf Factorization and Realization
1986Explicit formulas for Wiener-Hopf factorization of rational matrix and analytic operator functions relative to a closed contour are constructed. The formulas are given in terms of a realization of the functions. Also formulas for the factorization indices are given.
H. Bart, I. Gohberg, M. A. Kaashoek
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