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.
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Volume (Year): 72 (2005)
Issue (Month): 2 (April)
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