Properties of Poisson processes directed by compound Poisson-gamma subordinators

DOI10.15559/18-VMSTA101MaRDI QIDQ1645193zbMATH OpenOpenAlexWikidataFDO

Authors Khrystyna Buchak, L. Sakhno

Publication date 28 June 2018

Published in Modern Stochastics. Theory and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1806.03833

zbMATH Keywords

Bessel transformshitting timesPoisson processPoisson-Gamma subordinatortime-change

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Processes with independent increments; Lévy processes (60G51) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Abstract: In the paper we consider time-changed Poisson processes where the time is expressed by compound Poisson-Gamma subordinators $G(N(t))$ and derive the expressions for their hitting times. We also study the time-changed Poisson processes where the role of time is played by the processes of the form $G(N(t)+at)$ and by the iteration of such processes.

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Cites work

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Cited in

(13)

• Logarithmic Lévy process directed by Poisson subordinator
• A simple proof of the Lévy-Khintchine formula for subordinators
• Compositions of Poisson and Gamma processes
• Compound Poisson process with a Poisson subordinator
• Consecutive subordination of Poisson processes and gamma processes
• Tempered fractional Poisson processes and fractional equations with Z-transform
• Poisson generalized gamma process and its properties
• Delayed and rushed motions through time change
• Skellam processes directed by Gamma subordinators
• Point processes subordinated to compound Poisson processes
• On spectral properties of stationary random processes connected by a special random time change
• Generalized fractional calculus and some models of generalized counting processes
• Iterated Poisson processes for catastrophic risk modeling in ruin theory

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