Compound Poisson Process with a Poisson Subordinator

DOI10.1239/jap/1437658603zbMath1323.60066arXiv1511.05192OpenAlexW3023336578MaRDI QIDQ2949842

Barbara Martinucci, Shelemyahu Zacks, Antonio Di Crescenzo

Publication date: 2 October 2015

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1511.05192

zbMATH Keywords

Bell polynomialscompound Poisson processiterated processmean sojourn timefirst-crossing timelinear boundaryPoisson subordinator

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Continuous-time Markov processes on discrete state spaces (60J27) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

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