A martingale characterization of Pólya-Lundberg processes

DOI10.1239/JAP/1158784943zbMATH Open1120.60051OpenAlexW1964034488MaRDI QIDQ5754685FDOQ5754685

Authors: Birgit Niese 

Publication date: 23 August 2007

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

Full work available at URL: https://doi.org/10.1239/jap/1158784943

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zbMATH Keywords

exponential familymixed Poisson processPólya-Lundberg process

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Statistical distribution theory (62E99) Martingales with continuous parameter (60G44)

Cites Work

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• Exponential families of stochastic processes
• A new characterisation property of mixed Poisson processes via Berman's theorem
• On mixed poisson processes and martingales
• Eine Monotonieeigenschaft zufälliger Punktfolgen
• An Analytical Treatment of Exponential Families of Stochastic Processes with Independent Stationary Increments
• Integer valued Markov processes and exponential families
• A martingale characterization of mixed Poisson processes

Cited In (4)

• A martingale approach for Pólya urn processes
• On the sample path properties of mixed Poisson processes
• Exponential families of mixed Poisson distributions
• Martingale characterization of Pólya processes and sequences

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