Martingale characterization of Pólya processes and sequences (Q946016)

The author proves that a mixed Poisson process \(\xi=(\xi_t)_{t\geq0}\) is a Pólya process if and only if there exists a non-degenerate linear transformation \(\xi_t\mapsto\eta_t=a(t)\xi_t+b(t)\) such that \(\eta=(\eta_t)_{t\geq0}\) is a martingale. This martingale characterization provides an optimal forecast for the value of the random variable \(\xi_T\). An analogous result is proved for Pólya sequences.