Self-exciting counting process systems with finite state space

DOI10.1016/0304-4149(90)90019-OMaRDI QIDQ915264zbMATH OpenOpenAlexFDO

Authors Peter Spreij

Publication date 1990

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0304-4149(90)90019-o

zbMATH Keywords

counting processstochastic realization theory

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Stochastic systems in control theory (general) (93E03) Stochastic systems and control (93E99)

Review text

The author characterizes the class of counting processes that admit an intensity which is a function of a finite state process that is Markov with respect to the \(\sigma\)-algebras generated by the corresponding counting process.

Recommendations

• scientific article; zbMATH DE number 48235
• Self-exciting jump processes and their asymptotic behaviour
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• scientific article; zbMATH DE number 3251149
• On the moments of a self-correcting process

Cites work

• Changes of filtrations and of probability measures
• scientific article; zbMATH DE number 3145626 (Why is no real title available?)
• scientific article; zbMATH DE number 3639532 (Why is no real title available?)
• Interconnections of Markov chains and quasi-reversible queuing networks
• Martingales on Jump Processes. I: Representation Results
• Point processes and queues. Martingale dynamics
• Statistical analysis of counting processes
• The multiplicity of an increasing family of \(\sigma\)-fields

Cited in

(4)

• Moment generating function of non-Markov self-excited claims processes
• A representation result for finite Markov chains
• DIFFUSION LIMITS FOR A MARKOV MODULATED BINOMIAL COUNTING PROCESS
• The global and local limit of the continuous-time Mallows process

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