A simple proof of the Lévy-Khintchine formula for subordinators

DOI10.1016/J.SPL.2021.109136MaRDI QIDQ2244471zbMATH OpenOpenAlexFDO

Authors Yu. V. Yakubovich

Publication date 12 November 2021

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2011.07324

zbMATH Keywords

compound Poisson processLévy-Khintchine formulasubordinator

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51)

Abstract: We present a relatively simple and mostly elementary proof of the L'evy--Khintchine formula for subordinators. The main idea is to study the Poisson process time-changed by the subordinator. The technical tools used are conditional expectations, probability generating function and convergence of discrete random variables.

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Cited in

(3)

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• scientific article; zbMATH DE number 3984256 (Why is no real title available?)
• On spectral properties of stationary random processes connected by a special random time change

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