Properties of Poisson processes directed by compound Poisson-Gamma subordinators

Khrystyna Buchak; Lyudmyla Sakhno

doi:10.15559/18-VMSTA101

Properties of Poisson processes directed by compound Poisson-Gamma subordinators

Probability 2018-06-12 v1

Authors: Khrystyna Buchak , Lyudmyla Sakhno

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Abstract

In the paper we consider time-changed Poisson processes where the time is expressed by compound Poisson-Gamma subordinators $G(N(t))$ and derive the expressions for their hitting times. We also study the time-changed Poisson processes where the role of time is played by the processes of the form $G(N(t)+at)$ and by the iteration of such processes.

Keywords

Poisson process compound Poisson-Gamma subordinator time-changed process hitting time stochastic process

Cite

@article{arxiv.1806.03833,
  title  = {Properties of Poisson processes directed by compound Poisson-Gamma subordinators},
  author = {Khrystyna Buchak and Lyudmyla Sakhno},
  journal= {arXiv preprint arXiv:1806.03833},
  year   = {2018}
}

Comments

Published at https://doi.org/10.15559/18-VMSTA101 in the Modern Stochastics: Theory and Applications (https://www.i-journals.org/vtxpp/VMSTA) by VTeX (http://www.vtex.lt/)

Properties of Poisson processes directed by compound Poisson-Gamma subordinators

Abstract

Keywords

Cite

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