On mixed poisson processes and martingales

DOI10.1080/03461238.1998.10413994zbMath1021.60039OpenAlexW2044553328MaRDI QIDQ4235017

Bronius Grigelionis

Publication date: 25 March 1999

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.1998.10413994

zbMATH Keywords

mixed Poisson processesmartingale characterization

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items (6)

On the asymptotic behavior of mixed Poisson processes ⋮ On the sample path properties of mixed Poisson processes ⋮ A characterization of martingale-equivalent mixed compound Poisson processes ⋮ Moments of compound renewal sums with discounted claims ⋮ A martingale characterization of Pólya-Lundberg processes ⋮ On mixed exponential processes and martingales

Cites Work

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• An introduction to the theory of point processes
• On Stably Weak Convergence of Semi-Martingales and of Point Processes
• Weak and Strong Convergence of the Distributions of Counting Processes
• A martingale characterization of mixed Poisson processes
• Multivariate point processes: predictable projection, Radon-Nikodym derivatives, representation of martingales
• Statistical models based on counting processes

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