Time-changed multiparameter Poisson processes and martingales

Pradeep Vishwakarma; Kuldeep Kumar Kataria

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arXiv · 2501.09543

Time-changed multiparameter Poisson processes and martingales

Pradeep Vishwakarma·Kuldeep Kumar Kataria

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Abstract

We consider a multiparameter extension of the homogeneous Poisson counting process, namely, the multiparameter Poisson process (MPP). We derive its various distributional properties. Also, we consider an integral of the MPP and analyze its asymptotic distribution. Thereafter, we investigate three time-changed variants of the MPP, where the time-changing components are multivariate subordinator and inverse subordinators with both dependent and independent marginals. Later, we obtain some properties of the multiparameter martingales, which are then used to derive multiparameter martingale characterizations for the MPP and one of its time-changed variants.

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Pradeep Vishwakarma, Kuldeep Kumar Kataria. 2025-01-16. Time-changed multiparameter Poisson processes and martingales. https://arxiv.org/abs/2501.09543

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