On the asymptotic behavior of mixed Poisson processes (Q1381644): Difference between revisions

From MaRDI portal
RedirectionBot (talk | contribs)
Changed an Item
ReferenceBot (talk | contribs)
Changed an Item
 
(One intermediate revision by one other user not shown)
Property / MaRDI profile type
 
Property / MaRDI profile type: MaRDI publication profile / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4229047 / rank
 
Normal rank
Property / cites work
 
Property / cites work: On mixed poisson processes and martingales / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4155574 / rank
 
Normal rank
Property / cites work
 
Property / cites work: A strong law of large numbers for local martingales / rank
 
Normal rank
Property / cites work
 
Property / cites work: A law of the iterated logarithm for stochastic integrals / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4098439 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5509983 / rank
 
Normal rank

Latest revision as of 10:52, 28 May 2024

scientific article
Language Label Description Also known as
English
On the asymptotic behavior of mixed Poisson processes
scientific article

    Statements

    On the asymptotic behavior of mixed Poisson processes (English)
    0 references
    1 April 1998
    0 references
    A mixed Poisson process \(N(t)\) \((t>0)\) is considered which is a Poisson process with a random intensity \(\lambda\). The following formula is proved \[ \limsup_{t\to\infty}{N(t)-A(t)\over\sqrt{2t\log\log t}}=\sqrt\lambda, \] where \(A(t)\) is a compensator of the process \(N\) such that \(M(t)=N(t)-A(t)\) is a martingale. A transformation of an \(N\)-predictable process \(\varphi\) of the form \[ X_t(\varphi)=\int^t_0\varphi(s)dM(s)\quad(t\geq 0) \] is investigated. A law of iterated logarithms is proved for this process as \(t\to\infty\) and also an asymptotics of a variance of \(X_t(\varphi)\) is derived under assumption \(\varphi\) increases as \(t^\gamma\) \((\gamma\in[0,\infty))\).
    0 references
    martingale
    0 references
    iterated logarithm
    0 references
    stochastic integral
    0 references
    compensator
    0 references

    Identifiers