论文标题
Wiener-Hopf分解算术布朗运动，随时间依赖性漂移和波动性
Wiener-Hopf Factorization for Arithmetic Brownian Motion with Time-Dependent Drift and Volatility
论文作者
论文摘要
在本文中，我们获得了Wiener-HOPF类型分解，用于实现的算术算术布朗运动，并具有时间依赖性的漂移和波动性。据我们所知，本文是实现目标（实用值）时间抗征税过程的Wiener-HOPF类型因素的目标的第一步。为了证明我们的主要定理，我们得出了一些有关时间均匀嘈杂的维也纳-HOPF分解的新结果。我们证明，在算术布朗运动的特殊情况下，我们的主要结果与经典的Wiener-HOPF分解有关，对于这种特定的时间基础征税过程。
In this paper we obtain a Wiener-Hopf type factorization for a real-valued arithmetic Brownian motion with time-dependent drift and volatility. To the best of our knowledge, this paper is the very first step towards realizing the objective of deriving Wiener-Hopf type factorizations for (real-valued) time-inhomogeneous Levy processes. In order to prove our main theorem, we derive some new results regarding time-inhomogeneous noisy Wiener-Hopf factorization. We demonstrate that in the special case of the arithmetic Brownian motion with constant drift and volatility our main result agrees with classical Wiener-Hopf factorization for this particular time-homogenous Levy process.
