Independence times for iid sequences, random walks and L\'evy processes
classification
🧮 math.PR
keywords
randomindependentprocesshistoryincrementsrespectivelysequencetime
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For a sequence in discrete time having stationary independent values (respectively, random walk) $X$, those random times $R$ of $X$ are characterized set-theoretically, for which the strict post-$R$ sequence (respectively, the process of the increments of $X$ after $R$) is independent of the history up to $R$. For a L\'evy process $X$ and a random time $R$ of $X$, reasonably useful sufficient conditions and a partial necessary condition on $R$ are given, for the process of the increments of $X$ after $R$ to be independent of the history up to $R$.
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