Martingale characterization of Pólya processes and sequences

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Martingale characterization of Pólya processes and sequences. / Nekrutkin, V. V.

In: Vestnik St. Petersburg University: Mathematics, Vol. 40, No. 3, 09.2007, p. 243-249.

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Nekrutkin, V. V. / Martingale characterization of Pólya processes and sequences. In: Vestnik St. Petersburg University: Mathematics. 2007 ; Vol. 40, No. 3. pp. 243-249.

BibTeX

@article{8ca3b4ef14a7478493c01296b09971b6,

title = "Martingale characterization of P{\'o}lya processes and sequences",

abstract = "It is proved that a mixed Poisson process ξ t is a P{\'o}lya process if and only if there exists a nondegenerate linear transform ξ t → η t = a(t)ξ t + b(t) such that η t is a martingale. A similar result is valid for P{\'o}lya sequences.",

author = "Nekrutkin, {V. V.}",

year = "2007",

month = sep,

doi = "10.3103/S1063454107030119",

language = "English",

volume = "40",

pages = "243--249",

journal = "Vestnik St. Petersburg University: Mathematics",

issn = "1063-4541",

publisher = "Pleiades Publishing",

number = "3",

}

RIS

TY - JOUR

T1 - Martingale characterization of Pólya processes and sequences

AU - Nekrutkin, V. V.

PY - 2007/9

Y1 - 2007/9

N2 - It is proved that a mixed Poisson process ξ t is a Pólya process if and only if there exists a nondegenerate linear transform ξ t → η t = a(t)ξ t + b(t) such that η t is a martingale. A similar result is valid for Pólya sequences.

AB - It is proved that a mixed Poisson process ξ t is a Pólya process if and only if there exists a nondegenerate linear transform ξ t → η t = a(t)ξ t + b(t) such that η t is a martingale. A similar result is valid for Pólya sequences.

UR - http://www.scopus.com/inward/record.url?scp=84859713237&partnerID=8YFLogxK

U2 - 10.3103/S1063454107030119

DO - 10.3103/S1063454107030119

M3 - Article

AN - SCOPUS:84859713237

VL - 40

SP - 243

EP - 249

JO - Vestnik St. Petersburg University: Mathematics

JF - Vestnik St. Petersburg University: Mathematics

SN - 1063-4541

IS - 3

ER -

ID: 76337301