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Characterization of stable processes by identically distributed stochastic integrals
Published online by Cambridge University Press: 01 July 2016
Abstract
Let X(t) be a homogeneous and continuous stochastic process with independent increments. The subject of this paper is to characterize the stable process by two identically distributed stochastic integrals formed by means of X(t) (in the sense of convergence in probability). The proof of the main results is based on a modern extension of the Phragmén-Lindelöf theory.
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- Copyright © Applied Probability Trust 1980
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