Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1155665 | Stochastic Processes and their Applications | 2013 | 21 Pages |
Abstract
Processes with independent increments are proven to be the unique solutions of duality formulas. This result is based on a simple characterization of infinitely divisible random vectors by a functional equation in which a difference operator appears. This operator is constructed by a variational method and compared to approaches involving chaos decompositions. We also obtain a related characterization of infinitely divisible random measures.
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Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
Rüdiger Murr,