Hypo-exponential distributions and compound Poisson processes with alternating parameters

Nikita Ratanov

Resultado de la investigación: Contribución a RevistaArtículo

2 Citas (Scopus)

Resumen

© 2015 Elsevier B.V.Point processes with alternating arrival rates arise in various applications, including financial modelling. We obtain explicit expressions for the distributions of these processes, i.e. for the sums ∑m=1nX(m) and ∑m=1n(-1)mX(m), where X(m) are independent exponentially distributed random variables with alternating parameters. The distribution of the compound Poisson process with Markov modulation and with exponentially distributed jumps is also studied.
Idioma originalEnglish (US)
Páginas (desde-hasta)71-78
Número de páginas8
PublicaciónStatistics and Probability Letters
DOI
EstadoPublished - dic 1 2015

Huella dactilar

Compound Poisson Process
Exponential distribution
Financial Modeling
Point Process
Jump
Modulation
Random variable
Compound Poisson process
Financial modeling
Random variables
Point process

Citar esto

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Hypo-exponential distributions and compound Poisson processes with alternating parameters. / Ratanov, Nikita.

En: Statistics and Probability Letters, 01.12.2015, p. 71-78.

Resultado de la investigación: Contribución a RevistaArtículo

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AB - © 2015 Elsevier B.V.Point processes with alternating arrival rates arise in various applications, including financial modelling. We obtain explicit expressions for the distributions of these processes, i.e. for the sums ∑m=1nX(m) and ∑m=1n(-1)mX(m), where X(m) are independent exponentially distributed random variables with alternating parameters. The distribution of the compound Poisson process with Markov modulation and with exponentially distributed jumps is also studied.

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