Some martingale characterizations of compound mixed Poisson processes

Authors Demetrios P. Lyberopoulos, Nikolaos Demetrios Macheras

Publication date 16 April 2020

Integration and disintegration of measures (28A50) Martingales with continuous parameter (60G44) Sums of independent random variables; random walks (60G50)

Abstract: Some martingale characterizations of compound mixed Poisson processes are proven, extending S. Watanabe's (1964) martingale characterization of Poisson processes as well as the main result of Lyberopoulos and Macheras (2012), concerning martingale characterizations of mixed Poisson processes.

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