Set-indexed processes with independent increments

Set-indexed process with independent increments are described by 'convolution systems'; the construction of such a process is given using Kolmogorov's extension theorem. When we specialize to the case of Lévy processes, we obtain a double characterization in terms of their characteristic functions and in terms of their generators.

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Year of publication:	2002
Authors:	Balan, R. M.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 59.2002, 4, p. 415-424
Publisher:	Elsevier
Keywords:	Set-indexed process Independent increments Convolution system Flow Lévy process

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005138128