Properties of Poisson processes directed by compound Poisson-Gamma subordinators
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(...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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VTeX
2018-05-01
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| Series: | Modern Stochastics: Theory and Applications |
| Subjects: | |
| Online Access: | https://vmsta.vtex.vmt/doi/10.15559/18-VMSTA101 |
| _version_ | 1819074119300284416 |
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| author | Khrystyna Buchak Lyudmyla Sakhno |
| author_facet | Khrystyna Buchak Lyudmyla Sakhno |
| author_sort | Khrystyna Buchak |
| collection | DOAJ |
| description | 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. |
| first_indexed | 2024-12-21T18:04:27Z |
| format | Article |
| id | doaj.art-6b6c108eeea24a7297f86e55fc092b48 |
| institution | Directory Open Access Journal |
| issn | 2351-6046 2351-6054 |
| language | English |
| last_indexed | 2024-12-21T18:04:27Z |
| publishDate | 2018-05-01 |
| publisher | VTeX |
| record_format | Article |
| series | Modern Stochastics: Theory and Applications |
| spelling | doaj.art-6b6c108eeea24a7297f86e55fc092b482022-12-21T18:54:59ZengVTeXModern Stochastics: Theory and Applications2351-60462351-60542018-05-015216718910.15559/18-VMSTA101Properties of Poisson processes directed by compound Poisson-Gamma subordinatorsKhrystyna Buchak0Lyudmyla Sakhno1Mechanics and Mathematics Faculty, Taras Shevchenko National University of Kyiv, Volodymyrska 64/11, 01601 Kyiv, UkraineMechanics and Mathematics Faculty, Taras Shevchenko National University of Kyiv, Volodymyrska 64/11, 01601 Kyiv, UkraineIn 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.https://vmsta.vtex.vmt/doi/10.15559/18-VMSTA101Time-changePoisson processPoisson-Gamma subordinatorhitting timesBessel transforms |
| spellingShingle | Khrystyna Buchak Lyudmyla Sakhno Properties of Poisson processes directed by compound Poisson-Gamma subordinators Modern Stochastics: Theory and Applications Time-change Poisson process Poisson-Gamma subordinator hitting times Bessel transforms |
| title | Properties of Poisson processes directed by compound Poisson-Gamma subordinators |
| title_full | Properties of Poisson processes directed by compound Poisson-Gamma subordinators |
| title_fullStr | Properties of Poisson processes directed by compound Poisson-Gamma subordinators |
| title_full_unstemmed | Properties of Poisson processes directed by compound Poisson-Gamma subordinators |
| title_short | Properties of Poisson processes directed by compound Poisson-Gamma subordinators |
| title_sort | properties of poisson processes directed by compound poisson gamma subordinators |
| topic | Time-change Poisson process Poisson-Gamma subordinator hitting times Bessel transforms |
| url | https://vmsta.vtex.vmt/doi/10.15559/18-VMSTA101 |
| work_keys_str_mv | AT khrystynabuchak propertiesofpoissonprocessesdirectedbycompoundpoissongammasubordinators AT lyudmylasakhno propertiesofpoissonprocessesdirectedbycompoundpoissongammasubordinators |