Time-changed Poisson processes

DOI10.1016/j.spl.2011.08.002zbMath1227.60063arXiv1105.0657OpenAlexW2006322905MaRDI QIDQ645448

Erkan Nane, Arun Kumar, Palaniappan Vellaisamy

Publication date: 15 November 2011

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1105.0657

zbMATH Keywords

subordinationhitting timesdifference-differential equationinverse Gaussian processtempered stable processestime-changed process

Mathematics Subject Classification ID

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

Related Items (25)

Compositions of Poisson and Gamma processes ⋮ Population processes sampled at random times ⋮ Characterization of the inverse stable subordinator ⋮ Time-changed space-time fractional Poisson process ⋮ On fractional tempered stable processes and their governing differential equations ⋮ Compound Poisson Process with a Poisson Subordinator ⋮ Asymptotic results for a multivariate version of the alternative fractional Poisson process ⋮ Multivariate claim processes with rough intensities: properties and estimation ⋮ On the infinitesimal dispersion of multivariate Markov counting systems ⋮ Trajectory composition of Poisson time changes and Markov counting systems ⋮ Time changes that result in multiple points in continuous-time Markov counting processes ⋮ Random time-changes and asymptotic results for a class of continuous-time Markov chains on integers with alternating rates ⋮ Randomly Stopped Nonlinear Fractional Birth Processes ⋮ Fractional Discrete Processes: Compound and Mixed Poisson Representations ⋮ Time-inhomogeneous fractional Poisson processes defined by the multistable subordinator ⋮ On discrete-time semi-Markov processes ⋮ Counting processes with Bernštein intertimes and random jumps ⋮ Correlated fractional counting processes on a finite-time interval ⋮ Generalized variance functions for infinitely divisible mixture distributions ⋮ Time-changed Poisson processes of order k ⋮ Recent developments on fractional point processes ⋮ Fractional Poisson process time-changed by Lévy subordinator and its inverse ⋮ On the governing equations for Poisson and Skellam processes time-changed by inverse subordinators ⋮ Skellam and time-changed variants of the generalized fractional counting process ⋮ Lévy processes time-changed by the first-exit time of the inverse Gaussian subordinator

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• Lévy Processes and Stochastic Calculus
• Brownian subordinators and fractional Cauchy problems
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• Financial Modelling with Jump Processes
• Chance and Stability
• Higher order PDE’s and iterated processes
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