On the characteristic functional of a doubly stochastic Poisson process: Application to a narrow-band process

DOI10.1016/j.apm.2005.07.005zbMath1138.60039OpenAlexW2005905435MaRDI QIDQ924757

Paula R. Bouzas, Mariano J. Valderrama, Ana M. Aguilera

Publication date: 19 May 2008

Published in: Applied Mathematical Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.apm.2005.07.005

zbMATH Keywords

characteristic functionaldoubly stochastic Poisson processKarhunen-Loève expansionnarrow band process

Mathematics Subject Classification ID

Characteristic functions; other transforms (60E10) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

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Cites Work

• A survey of numerical methods for stochastic differential equations
• An introduction to stochastic processes and their applications
• An introduction to the theory of point processes
• A theoretical note on the distribution of a filtered compound doubly stochastic Poisson process
• Forecasting a class of doubly stochastic Poisson processes
• Recursive nonlinear estimation of a diffusion acting as the rate of an observed Poisson process
• Estimation and filtering on a doubly stochastic poisson process
• The general cumulants for a filtered point process
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