Suppose that $L_t$ is a counting process, i.e. $$ L_t= \sum_{i \in \mathbb N} 1_{T_i \le t} $$ for a collection $(T_i) _{i \in \mathbb N}$ of stopping times.

I have often seen the claim that if $L_t$ has stationary and independent increments, then it is Poisson, that is there exists $\lambda>0$ s.t. $$ \mathbb P(L_t=k) =e^{- \lambda t} \frac{(\lambda t) ^k }{k!} $$

Is this claim correct or is it missing some assumptions? Could someone prove this fact or point to a reference for a proof?

  • 1
    $\begingroup$ Not an answer, but you may be interested in reading about Lévy processes. $\endgroup$ – angryavian Feb 24 at 18:51
  • 2
    $\begingroup$ Take a look at Theorem 8.1 here $\endgroup$ – saz Feb 24 at 19:09

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