The aim of this paper is to state a correspondence between marked Poisson processes and multivariate subordinated Lévy processes. We prove that, under suitable conditions, marked Poisson processes are in law subordinated Brownian motions and we provide their Lévy triplet and characteristic function. We introduce the class of multivariate Gaussian marked Poisson processes and prove that – in law – they are multivariate subordinated Brownian motions.
A note on Marked Point Processes and multivariate subordination
MARENA, Marina;
2016-01-01
Abstract
The aim of this paper is to state a correspondence between marked Poisson processes and multivariate subordinated Lévy processes. We prove that, under suitable conditions, marked Poisson processes are in law subordinated Brownian motions and we provide their Lévy triplet and characteristic function. We introduce the class of multivariate Gaussian marked Poisson processes and prove that – in law – they are multivariate subordinated Brownian motions.
File in questo prodotto:
| File | Dimensione | Formato | |
|---|---|---|---|
|
marked_point_processes.pdf
Open Access dal 12/11/2018
Descrizione: marked_poisson_processes
Tipo di file:
POSTPRINT (VERSIONE FINALE DELL’AUTORE)
Dimensione
271.02 kB
Formato
Adobe PDF
|
271.02 kB | Adobe PDF | Visualizza/Apri |
|
Marena_StatProbLet17.pdf
Accesso riservato
Tipo di file:
PDF EDITORIALE
Dimensione
381.08 kB
Formato
Adobe PDF
|
381.08 kB | Adobe PDF | Visualizza/Apri Richiedi una copia |
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
