Ergodic path properties of processes with stationary increments
Autor(en): | Kella, O Stadje, W |
Stichwörter: | Mathematics | Erscheinungsdatum: | 2002 | Herausgeber: | AUSTRALIAN MATHEMATICS PUBL ASSOC INC | Enthalten in: | JOURNAL OF THE AUSTRALIAN MATHEMATICAL SOCIETY | Band: | 72 | Ausgabe: | 2 | Startseite: | 199 | Seitenende: | 208 | Zusammenfassung: | For a real-valued ergodic process X with strictly stationary increments satisfying some measurability and continuity assumptions it is proved that the long-run `average behaviour' of all its increments over finite intervals replicates the distribution of the corresponding increments of X in a strong sense. Moreover, every Levy process has a version that possesses this ergodic path property. |
ISSN: | 14467887 | DOI: | 10.1017/S1446788700003840 |
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geprüft am 07.06.2024