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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Elsevier
2015
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| Acceso en línea: | https://repository.urosario.edu.co/handle/10336/23331 https://doi.org/10.1016/j.spl.2015.08.006 |
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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 |
| _version_ |
1690577368550211584 |
| score |
11,388314 |