Hypo-exponential distributions and compound Poisson processes with alternating parameters

"Point processes with alternating arrival rates arise in various applications, including financial modelling. We obtain explicit expressions for the distributions of these processes, i.e. for the sums ?m=1nX(m) and ?m=1n(-1)mX(m), where X(m) are independent exponentially distributed random vari...

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Autor Principal: Ratanov, Nikita
Formato: Artículo (Article)
Lenguaje:Inglés (English)
Publicado: Elsevier 2015
Materias:
Acceso en línea:https://repository.urosario.edu.co/handle/10336/23331
https://doi.org/10.1016/j.spl.2015.08.006
id ir-10336-23331
recordtype dspace
spelling ir-10336-233312021-01-21T08:27:41Z Hypo-exponential distributions and compound Poisson processes with alternating parameters Ratanov, Nikita Erlang distribution Hyper-exponential distribution Hypo-exponential distribution Markov-modulated Poisson process Poisson process "Point processes with alternating arrival rates arise in various applications, including financial modelling. We obtain explicit expressions for the distributions of these processes, i.e. for the sums ?m=1nX(m) and ?m=1n(-1)mX(m), where X(m) are independent exponentially distributed random variables with alternating parameters. The distribution of the compound Poisson process with Markov modulation and with exponentially distributed jumps is also studied. © 2015 Elsevier B.V." 2015 2020-05-26T00:01:12Z info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion 1677152 https://repository.urosario.edu.co/handle/10336/23331 https://doi.org/10.1016/j.spl.2015.08.006 eng info:eu-repo/semantics/openAccess application/pdf Elsevier instname:Universidad del Rosario reponame:Repositorio Institucional EdocUR
institution EdocUR - Universidad del Rosario
collection DSpace
language Inglés (English)
topic Erlang distribution
Hyper-exponential distribution
Hypo-exponential distribution
Markov-modulated Poisson process
Poisson process
spellingShingle Erlang distribution
Hyper-exponential distribution
Hypo-exponential distribution
Markov-modulated Poisson process
Poisson process
Ratanov, Nikita
Hypo-exponential distributions and compound Poisson processes with alternating parameters
description "Point processes with alternating arrival rates arise in various applications, including financial modelling. We obtain explicit expressions for the distributions of these processes, i.e. for the sums ?m=1nX(m) and ?m=1n(-1)mX(m), where X(m) are independent exponentially distributed random variables with alternating parameters. The distribution of the compound Poisson process with Markov modulation and with exponentially distributed jumps is also studied. © 2015 Elsevier B.V."
format Artículo (Article)
author Ratanov, Nikita
author_facet Ratanov, Nikita
author_sort Ratanov, Nikita
title Hypo-exponential distributions and compound Poisson processes with alternating parameters
title_short Hypo-exponential distributions and compound Poisson processes with alternating parameters
title_full Hypo-exponential distributions and compound Poisson processes with alternating parameters
title_fullStr Hypo-exponential distributions and compound Poisson processes with alternating parameters
title_full_unstemmed Hypo-exponential distributions and compound Poisson processes with alternating parameters
title_sort hypo-exponential distributions and compound poisson processes with alternating parameters
publisher Elsevier
publishDate 2015
url https://repository.urosario.edu.co/handle/10336/23331
https://doi.org/10.1016/j.spl.2015.08.006
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score 11,388314