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