A renewal-process-type expression for the moments of inverse subordinators

DOI10.1239/jap/1134587822zbMath1094.60057OpenAlexW2033274055MaRDI QIDQ5476154

Andreas Nordvall Lagerås

Publication date: 29 June 2006

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

Full work available at URL: https://doi.org/10.1239/jap/1134587822

zbMATH Keywords

renewal theorylocal timeCox processpassage time

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Processes with independent increments; Lévy processes (60G51) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Renewal theory (60K05)

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Cites Work

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• Electronic Foreign-Exchange Markets and Passage Events of Independent Subordinators
• Limit theorems for occupation times of Markov processes

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