A simple proof of the Lévy--Khintchine formula for subordinators
arXiv:2011.07324 · doi:10.1016/j.spl.2021.109136
Abstract
We present a relatively simple and mostly elementary proof of the Lévy--Khintchine formula for subordinators. The main idea is to study the Poisson process time-changed by the subordinator. The technical tools used are conditional expectations, probability generating function and convergence of discrete random variables.
6 pages