A Martingale Characterization of Mixed Poisson Processes.
Technical rept. 1 Sep 85-31 Aug 86,
NORTH CAROLINA UNIV AT CHAPEL HILL CENTER FOR STOCHASTIC PROCESSES
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It is shown that an elementary pure birth process is a mixed Poisson process if the sequence of post-jump intensities forms a martingale with respect to the delta-fields generated by the jump times of the process. In this case, the post-jump intensities converge a.s. to the mixing random variable of the process. Keyword Applied probability. Author
- Statistics and Probability