Exponential stopping and drifted stable processes
Let p>1. If Y=(Y(t))t[greater-or-equal, slanted]0 is a positive Lévy process and if T is an exponential standard random variable independent of Y, we prove that Y(T) and Y(T)/Tp are independent if and only if Y(t) has a certain drifted stable distribution with parameter 1/p.
Year of publication: |
2005
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Authors: | Letac, G. ; Seshadri, V. |
Published in: |
Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 72.2005, 2, p. 137-143
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Publisher: |
Elsevier |
Keywords: | Inverse Gaussian distribution Lévy processes Characterizations |
Saved in:
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