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Conditional Poisson processes

Published online by Cambridge University Press:  14 July 2016

Richard F. Serfozo*
Affiliation:
Syracuse University

Abstract

A conditional Poisson process (often called a double stochastic Poisson process) is characterized as a random time transformation of a Poisson process with unit intensity. This characterization is used to exhibit the jump times and sizes of these processes, and to study their limiting behavior. A conditional Poisson process, whose intensity is a function of a Markov process, is discussed. Results similar to those presented can be obtained for any process with conditional stationary independent increments.

Type
Research Papers
Copyright
Copyright © Applied Probability Trust 1972 

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