On inverse-gamma distribution delayed by Poisson process

DOI10.1016/J.SPL.2023.109787MaRDI QIDQ6101732zbMATH OpenOpenAlexFDO

Authors Aïcha Bareche, Abdelouahab Bibi

Publication date 20 June 2023

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2023.109787

zbMATH Keywords

diffusion processesPoisson processsubordination

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

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Cited in

(3)

• A bivariate normal inverse Gaussian process with stochastic delay: efficient simulations and applications to energy markets
• Skellam processes directed by Gamma subordinators
• The stochastically subordinated Poisson normal process for modelling financial assets

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