Pseudo-Poissonian processes with stochastic intensity and a class of processes generalizing the Ornstein-Uhlenbeck process

DOI10.3103/S106345411702011XzbMath1375.60093OpenAlexW2729454839MaRDI QIDQ2402583

O. V. Rusakov

Publication date: 20 September 2017

Published in: Vestnik St. Petersburg University. Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3103/s106345411702011x

zbMATH Keywords

stabilityrandom intensityLaplace transform of distributionsprocesses of the Ornstein-Uhlenbeck typepseudo-Poissonian processes

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items (3)

Extremes of PSI-processes and Gaussian limits of their normalized independent identically distributed sums ⋮ On spectral properties of stationary random processes connected by a special random time change ⋮ On some local asymptotic properties of sequences with a random index

Cites Work

• Fractional Ornstein-Uhlenbeck Lévy processes and the telecom process: Upstairs and downstairs
• Sums of independent Poisson subordinators and their connection with strictly \(\alpha \)-stable processes of Ornstein-Uhlenbeck type
• Poissonian subordinators, the Wiener-Ornstein-Uhlenbeck field, and a relation between the Ornstein-Uhlenbeck processes and Brownian bridges
• Financial Modelling with Jump Processes
• An equilibrium characterization of the term structure
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Pseudo-Poissonian processes with stochastic intensity and a class of processes generalizing the Ornstein-Uhlenbeck process