Mixed exponential processes

MaRDI QIDQ2726261zbMATH OpenFDO

Authors Bronius Grigelionis

Publication date 16 July 2001

zbMATH Keywords

Brownian motionDelaporte processexponential familyGamma processindependent incrementsMarkov processmartingale characterizationmixed exponential processPoisson processpredictable characteristicssemimartingale

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Continuous-time Markov processes on general state spaces (60J25) Brownian motion (60J65)

Review text

Mixtures of probability distributions permit to define new statistical models. These families often enjoy some important geometrical properties such as convexity and completeness. As the classical example of this kind may be considered the theory of mixed Poisson processes, which was stimulated by its applications to sickness and accident statistics. Mixed Poisson processes were characterized either as the definite subclass of Markov processes, or as the simple point processes with the prescribed compensators. The family of the Hilbert space valued processes with independent increments and the related mixed exponential processes with given mixing distribution \(U\) are defined. Using their Markov property mixed exponential processes are characterized as semimartingales with prescribed triplets of predictable characteristics. Some examples and applications of this result are also considered.NEWLINENEWLINEFor the entire collection see [Zbl 0956.00022].

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Cited in

(6)

• On mixed exponential processes and martingales
• Some characterizations of mixed renewal processes
• A class of mixed Markov processes and their application in teletraffic theory
• A martingale characterization of Pólya-Lundberg processes
• On stochastic processes associated with relativistic stable distributions
• Exponential families of mixed Poisson distributions

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