Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
10526244 | Statistics & Probability Letters | 2005 | 7 Pages |
Abstract
Let p>1. If Y=(Y(t))t⩾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.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
G. Letac, V. Seshadri,