Some martingale characterizations of compound mixed Poisson processes
Probability
2020-04-20 v1
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.
Cite
@article{arxiv.2004.07835,
title = {Some martingale characterizations of compound mixed Poisson processes},
author = {Demetrios P. Lyberopoulos and Nikolaos D. Macheras},
journal= {arXiv preprint arXiv:2004.07835},
year = {2020}
}
Comments
11 pages. arXiv admin note: substantial text overlap with arXiv:1905.07629