Hitting probabilities of weighted Poisson processes with different intensities and their subordinations

DOI10.1007/S10473-021-0104-6MaRDI QIDQ2154241zbMATH OpenOpenAlexFDO

Authors Heng Zuo, Zhaohui Shen, Guanglin Rang

Publication date 14 July 2022

Published in Acta Mathematica Scientia. Series B. (English Edition) (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10473-021-0104-6

zbMATH Keywords

subordinationhitting probabilitiesweighted Poisson processes

Mathematics Subject Classification ID

Characteristic functions; other transforms (60E10) Processes with independent increments; Lévy processes (60G51) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Sums of independent random variables; random walks (60G50)

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Cites work

• scientific article; zbMATH DE number 3840939 (Why is no real title available?)
• scientific article; zbMATH DE number 1402217 (Why is no real title available?)
• A generalized geometric distribution and some of its properties
• Diffusion Equation and Stochastic Processes
• Financial Modelling with Jump Processes
• Fractional Poisson process
• Lévy Processes and Stochastic Calculus
• Multivariate subordination using generalised gamma convolutions with applications to variance gamma processes and option pricing
• Multivariate subordination, self-decomposability and stability
• On the Poisson process of order \(k\).
• On the ruin functions for a correlated aggregate claims model with Poisson and Erlang risk processes
• The density of the time to ruin for a Sparre Andersen process with Erlang arrivals and exponential claims
• The space-fractional Poisson process
• Time-changed Poisson processes of order \(k\)

Cited in

(3)

• Generalized fractional counting process
• Skellam and time-changed variants of the generalized fractional counting process
• On martingale characterizations of generalized counting process and its time-changed variants

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