Properties of Poisson processes directed by compound Poisson-Gamma subordinators
Copyright policy )Properties of Poisson processes directed by compound Poisson-Gamma subordinators
In the paper we consider time-changed Poisson processes where the time is expressed by compound Poisson-Gamma subordinators $G(N(t))$ and derive the expressions for their hitting times. We also study the time-changed Poisson processes where the role of time is played by the processes of the form $G(N(t)+at)$ and by the iteration of such processes.
Published at https://doi.org/10.15559/18-VMSTA101 in the Modern Stochastics: Theory and Applications (https://www.i-journals.org/vtxpp/VMSTA) by VTeX (http://www.vtex.lt/)
T57-57.97, Applied mathematics. Quantitative methods, Sums of independent random variables; random walks, Probability (math.PR), time-change, Poisson-Gamma subordinator, Poisson process, Processes with independent increments; Lévy processes, Time-change, Bessel transforms, QA1-939, FOS: Mathematics, Point processes (e.g., Poisson, Cox, Hawkes processes), hitting times, Mathematics, Mathematics - Probability
T57-57.97, Applied mathematics. Quantitative methods, Sums of independent random variables; random walks, Probability (math.PR), time-change, Poisson-Gamma subordinator, Poisson process, Processes with independent increments; Lévy processes, Time-change, Bessel transforms, QA1-939, FOS: Mathematics, Point processes (e.g., Poisson, Cox, Hawkes processes), hitting times, Mathematics, Mathematics - Probability
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