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

DOI10.1007/S10473-021-0104-6OpenAlexW3115695272MaRDI QIDQ2154241FDOQ2154241

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

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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)

Cites Work

• Financial Modelling with Jump Processes
• Title not available (Why is that?)
• Fractional Poisson process
• Lévy Processes and Stochastic Calculus
• Diffusion Equation and Stochastic Processes
• A generalized geometric distribution and some of its properties
• The space-fractional Poisson process
• Multivariate subordination, self-decomposability and stability
• The density of the time to ruin for a Sparre Andersen process with Erlang arrivals and exponential claims
• Time-changed Poisson processes of order k
• Title not available (Why is that?)
• Multivariate subordination using generalised gamma convolutions with applications to variance gamma processes and option pricing
• Title not available (Why is that?)
• On the ruin functions for a correlated aggregate claims model with Poisson and Erlang risk processes

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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