Abstract
The classical Wiener-Hopf factorisation of a probability measure is extended to an operator factorisation associated with a semi-Markov transition function. Some consequences of this factorisation are indicated including a set of duality relations.
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Arjas, E., Speed, T.P. Symmetric Wiener-Hopf factorisations in Markov additive processes. Z. Wahrscheinlichkeitstheorie verw Gebiete 26, 105–118 (1973). https://doi.org/10.1007/BF00533480
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DOI: https://doi.org/10.1007/BF00533480