On non-simple marked point processes (Q2502144)

The existence and uniqueness of the compensator for simple point processes has long been known. However, relatively little is known about non-simple point processes. Non-simple point processes are not uniquely determined by their conditional intensity and compensator. The failure of the compensator uniquely to characterize non-simple point processes applies even to the case of unmarked point processes on the line. For an elementary example, given a simple temporal Poisson process of unit rate, consider a non-simple point process constructed to have two points at each time at which the Poisson process has a point. The resulting double-point process has a compensator identical to that of a simple Poisson process of rate two. One way to characterize a non-simple point process is described in Chapter 7.2 of [1] [\textit{D. J. Daley} and \textit{D. Vere-Jones}, ``An introduction to the theory of point processes'' Springer (1988; Zbl 0657.60069)]. The method of [1] involves identifying with the point process its associated point process on a different space with an expanded mark space. The resulting associated process is simple by construction, and hence may be characterized uniquely by its conditional intensity on the expanded space. The aim of the paper is to explore some special cases of non-simple point processes, and to investigate the relationships between their ordinary conditional intensities and those of their associated point processes on the expanded space. The paper is organized as follows: Section 2 gives introductory definitions and notation. Section 3 describes separability criteria for non-simple point processes, defined via conditions on the conditional intensities of the associated point processes on the expanded space, and relations between the conditional intensity of the non-simple process and that of the associated process are derived. Section 4 provides some results on randomly rescaling and thinning non-simple point processes and thus transforming them into simple or separable point processes. See also the second edition of the book [1] (2003; Zbl 1026.60061)].