Self-exciting counting process systems with finite state space

DOI10.1016/0304-4149(90)90019-OzbMath0702.60051OpenAlexW2031393220MaRDI QIDQ915264

Peter Spreij

Publication date: 1990

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(90)90019-o

zbMATH Keywords

counting processstochastic realization theory

Mathematics Subject Classification ID

Stochastic systems and control (93E99) Stochastic systems in control theory (general) (93E03) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items (2)

DIFFUSION LIMITS FOR A MARKOV MODULATED BINOMIAL COUNTING PROCESS ⋮ A representation result for finite Markov chains

Cites Work

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• Statistical analysis of counting processes
• Interconnections of Markov chains and quasi-reversible queuing networks
• Point processes and queues. Martingale dynamics
• The multiplicity of an increasing family of \(\sigma\)-fields
• Changes of filtrations and of probability measures
• Martingales on Jump Processes. I: Representation Results

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