Structural Characterization of Taboo-Stationarity for General Processes in Two-Sided Time

نویسندگان

  • Peter W. Glynn
  • Hermann Thorisson
چکیده

This note considers the taboo counterpart of stationarity. A general stochastic process in two-sided time is de ned to be taboo-stationary if its global distribution does not change by shifting the origin to an arbitrary time in the future under taboo, that is, conditionally on some taboo-event not having occurred up to the new time-origin. The main result is the following basic structural characterization: a process is taboo-stationary if and only if it can be represented as a stochastic process with origin shifted backward in time by an independent exponential random variable. An application to re ected Brownian motion is given.

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تاریخ انتشار 2002