Processes with conditional stationary independent increments
- 1 June 1972
- journal article
- Published by Cambridge University Press (CUP) in Journal of Applied Probability
- Vol. 9 (2) , 303-315
- https://doi.org/10.2307/3212800
Abstract
We study a class of processes which are essentially processes with stationary independent increments whose basic parameters are allowed to vary randomly over time. These processes are equivalent to random time transformations of processes with stationary independent increments where the time process is independent of the original process. Several limiting theorems are presented including weak and strong laws of large numbers and a functional central limit theorem.Keywords
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