Time changes that result in multiple points in continuous-time Markov counting processes
We show that randomly changing time of simple, infinitesimally equi-dispersed, non-linear birth–death processes can result in compound, infinitesimally over-dispersed processes. We provide sufficient and necessary conditions and illustrate this with various time changes and examples from scientific and engineering fields.
Volume (Year): 82 (2012)
Issue (Month): 12 ()
|Contact details of provider:|| Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description|
|Order Information:|| Postal: http://www.elsevier.com/wps/find/supportfaq.cws_home/regional|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Hélyette Geman & Dilip B. Madan & Marc Yor, 2001. "Time Changes for Lévy Processes," Mathematical Finance, Wiley Blackwell, vol. 11(1), pages 79-96.
- Bretó, Carles & Ionides, Edward L., 2011. "Compound Markov counting processes and their applications to modeling infinitesimally over-dispersed systems," Stochastic Processes and their Applications, Elsevier, vol. 121(11), pages 2571-2591, November.
- Ionides, Edward L. & Bretó, Carles, 2011. "Compound Markov counting processes and their applications to modeling infinitesimally over-dispersed systems," DES - Working Papers. Statistics and Econometrics. WS ws111914, Universidad Carlos III de Madrid. Departamento de Estadística.
- Kumar, A. & Nane, Erkan & Vellaisamy, P., 2011. "Time-changed Poisson processes," Statistics & Probability Letters, Elsevier, vol. 81(12), pages 1899-1910.
- M. J. Faddy & J. S. Fenlon, 1999. "Stochastic modelling of the invasion process of nematodes in fly larvae," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 48(1), pages 31-37.
When requesting a correction, please mention this item's handle: RePEc:eee:stapro:v:82:y:2012:i:12:p:2229-2234. See general information about how to correct material in RePEc.
If references are entirely missing, you can add them using this form.