Abstract
The classical martingale characterizations of the Poisson process were obtained for point process or purely discontinuous martingale i.e. under additional assumptions on properties of trajectories. Here our aim is to search for related characterizations without relying on properties of trajectories. Except for a new martingale characterization, results based on conditional moments jointly involving the past and the nearest future are presented.
Publisher
Cambridge University Press (CUP)
Subject
Statistics, Probability and Uncertainty,General Mathematics,Statistics and Probability
Cited by
1 articles.
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