Compositions of Poisson and Gamma processes

DOI10.15559/17-VMSTA79MaRDI QIDQ2360596zbMATH OpenFDO

Authors Khrystyna Buchak, L. Sakhno

Publication date 4 July 2017

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

Full work available at URL https://arxiv.org/abs/1707.00523

zbMATH Keywords

Poisson processesinverse subordinatorgamma processesSkellam processcompound Poisson-gamma subordinator

Mathematics Subject Classification ID

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

Abstract: In the paper we study the models of time-changed Poisson and Skellam-type processes, where the role of time is played by compound Poisson-Gamma subordinators and their inverse (or first passage time) processes. We obtain explicitly the probability distributions of considered time-changed processes and discuss their properties.

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Cited in

(16)

• Stochastic processes directed by randomized time
• Point processes subordinated to compound Poisson processes
• On the governing equations for Poisson and Skellam processes time-changed by inverse subordinators
• Fractional Poisson process time-changed by Lévy subordinator and its inverse
• Lévy processes with jumps governed by lower incomplete gamma subordinator and its variations
• Properties of Poisson processes directed by compound Poisson-gamma subordinators
• Integro-differential equations linked to compound birth processes with infinitely divisible addends
• Poisson generalized gamma process and its properties
• Decomposition of gamma-distributed domains constructed from Poisson point processes
• Generalized fractional calculus and some models of generalized counting processes
• Logarithmic Lévy process directed by Poisson subordinator
• Generalized iterated Poisson process and applications
• Consecutive subordination of Poisson processes and gamma processes
• Skellam processes directed by Gamma subordinators
• Iterated generalized counting process and its extensions
• On inverse-gamma distribution delayed by Poisson process

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