Accession Number:

ADA162957

Title:

A Martingale Characterization of Mixed Poisson Processes.

Descriptive Note:

Technical rept. 1 Sep 85-31 Aug 86,

Corporate Author:

NORTH CAROLINA UNIV AT CHAPEL HILL CENTER FOR STOCHASTIC PROCESSES

Personal Author(s):

Report Date:

1985-10-01

Pagination or Media Count:

11.0

Abstract:

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

Subject Categories:

  • Statistics and Probability

Distribution Statement:

APPROVED FOR PUBLIC RELEASE