Characterizations of Some Stochastic Processes
Wang, Y. H.
Ann. Probab., Tome 3 (1975) no. 6, p. 1038-1045 / Harvested from Project Euclid
In this paper, we extend known characterizations of normal and other distributions. Let $X(t), t \geqq 0$, be a continuous (in probability) homogeneous process, with independent increments. Let $g(s, t)$ and $h(s)$ be continuous functions on $\lbrack a, b \rbrack^2$ and $\lbrack a, b \rbrack, 0 \leqq a < b < \infty$. Define stochastic integrals $Y_1 = \int^b_a h(s)X(ds)$ and $Y_2 = \int^b_a \int^b_a g(s, t)X(ds)X(dt)$. It is known that $Y_1$ exists in the sense of convergence in probability. It is shown here that $Y_2$ exists at least in the sense of convergence in $L_2$, under the additional assumption that $X$ is of second-order. The main results of this paper are to obtain, under additional appropriate assumptions on $g$ and $h$, characterizations of a class of stochastic processes which include the Brownian motion, Poisson, negative binomial and gamma processes, based on the linear regression of $Y_2$ on $Y_1$.
Publié le : 1975-12-14
Classification:  Characterization,  stochastic integrals,  stochastic processes,  homogeneous,  independent increments,  convergence in probability,  convergence in $L_2$,  Brownian motion,  Poisson process,  gamma process,  negative binomial process,  linear regression,  62E10,  60H05,  60G15,  60K99
@article{1176996231,
     author = {Wang, Y. H.},
     title = {Characterizations of Some Stochastic Processes},
     journal = {Ann. Probab.},
     volume = {3},
     number = {6},
     year = {1975},
     pages = { 1038-1045},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176996231}
}
Wang, Y. H. Characterizations of Some Stochastic Processes. Ann. Probab., Tome 3 (1975) no. 6, pp.  1038-1045. http://gdmltest.u-ga.fr/item/1176996231/