English

Independence times for iid sequences, random walks and L\'evy processes

Probability 2018-10-02 v4

Abstract

For a sequence in discrete time having stationary independent values (respectively, random walk) XX, those random times RR of XX are characterized set-theoretically, for which the strict post-RR sequence (respectively, the process of the increments of XX after RR) is independent of the history up to RR. For a L\'evy process XX and a random time RR of XX, reasonably useful sufficient conditions and a partial necessary condition on RR are given, for the process of the increments of XX after RR to be independent of the history up to RR.

Keywords

Cite

@article{arxiv.1704.06198,
  title  = {Independence times for iid sequences, random walks and L\'evy processes},
  author = {Matija Vidmar},
  journal= {arXiv preprint arXiv:1704.06198},
  year   = {2018}
}

Comments

18 pages

R2 v1 2026-06-22T19:22:48.747Z