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Poisson process via martingale and related characteristics

  • Jacek Wesołowski (a1)
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.

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Corresponding author
Postal address: Mathematical Institute, Warsaw University of Technology, Plac Politechniki 1, 00–661 Warsaw, Poland. Email address: wesolo@alpha.im.pw.edu.pl.
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Journal of Applied Probability
  • ISSN: 0021-9002
  • EISSN: 1475-6072
  • URL: /core/journals/journal-of-applied-probability
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