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arXiv · 1707.00523

Compositions of Poisson and Gamma processes

Khrystyna Buchak·Lyudmyla Sakhno
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Abstract

In the paper we study the models of time-changed Poisson and Skellam-type processes, where the role of time is played by compound Poisson-Gamma subordinators and their inverse (or first passage time) processes. We obtain explicitly the probability distributions of considered time-changed processes and discuss their properties.

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Khrystyna Buchak, Lyudmyla Sakhno. 2017-07-03. Compositions of Poisson and Gamma processes. https://doi.org/10.15559/17-vmsta79

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