Asymptotic behavior of generalized nonordinary Cox processes (Q1964468)
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English | Asymptotic behavior of generalized nonordinary Cox processes |
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Asymptotic behavior of generalized nonordinary Cox processes (English)
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9 February 2000
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Poisson processes are very often used as based mathematical models of event flows which are used in their turn in financial and auction mathematics. Some generalized non-ordinary double stochastic Poisson processes (Cox processes) which have increasing intensity are considered. A review of results describing classes of possible limit theorems for one-dimensional distributions of the processes is given. Some criteria of convergence of the distributions to limit distributions and estimation of the speed of convergence are described. Asymptotical expansions for the distributions and estimations of their concentration functions are also presented. Two examples of application of the theory of degenerate non-ordinary Cox processes in financial engineering and an insurance company activity are discussed.
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stochastic processes
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Poisson processes
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limit theorems
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