Exponential stopping and drifted stable processes

G. Letac and V. Seshadri

Statistics & Probability Letters, 2005, vol. 72, issue 2, 137-143

Abstract: 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.

Keywords: Inverse; Gaussian; distribution; Lévy; processes; Characterizations (search for similar items in EconPapers)
Date: 2005
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