Compositions of Poisson and Gamma processes
arXiv:1707.00523 · doi:10.15559/17-VMSTA79
Abstract
In the paper we study the models of time-changed Poisson and Skellam-type processes, where the role of time is played by compound Poisson-Gamma subordinators and their inverse (or first passage time) processes. We obtain explicitly the probability distributions of considered time-changed processes and discuss their properties.
Published at http://dx.doi.org/10.15559/17-VMSTA79 in the Modern Stochastics: Theory and Applications (https://www.i-journals.org/vtxpp/VMSTA) by VTeX (http://www.vtex.lt/)