Modern Stochastics: Theory and Applications (Jun 2017)
Compositions of Poisson and Gamma processes
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.
Keywords