Generalized iterated Poisson process and applications

DOI10.1007/S10959-024-01362-0MaRDI QIDQ6633177zbMATH OpenFDO

Authors Ritik Soni, A. K. Pathak

Publication date 5 November 2024

Published in Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/S10959-024-01362-0

zbMATH Keywords

compound Poisson processfirst-passage time distributionfractional Bell polynomialsGerber-Shiu functionLRD propertyruin modelsurplus processtime-fractional Poisson process

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Fractional processes, including fractional Brownian motion (60G22) Sums of independent random variables; random walks (60G50) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

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Cited in

(2)

• Shock models driven by a bivariate mixture tempered space fractional Poisson process
• A stochastic framework for ruin probabilities under time-changed Brownian motion

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