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arXiv · 1806.03833

Properties of Poisson processes directed by compound Poisson-Gamma subordinators

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.

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Khrystyna Buchak, Lyudmyla Sakhno. 2018-06-11. Properties of Poisson processes directed by compound Poisson-Gamma subordinators. https://doi.org/10.15559/18-vmsta101

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