On a theorem of K. Schmidt (Q5917682): Difference between revisions

The author proves the following result (generalizing an earlier result of K. Schmidt): Suppose \((X_k)\) is a sequence of random variables, and for each \(k\geq 1\), the family of distributions of \(S_k (n)= \sum^{k+n}_{j= k+1} X_j\), \(n\geq 1\), is tight. Then there exists a Borel function \(f: \mathbb{R} \times \mathbb{R}\times \mathbb{R}\times \dots\to \mathbb{R}\) with the following property: Defining for each \(k\geq 1\) the random variable \(Y_k= f(X_{k+1}, X_{k+2}, \dots)\), one has for \(k\geq 1\), \(X_k= Y_k- Y_{k-1}\) a.s.