Ítem
Acceso Abierto
Hypo-exponential distributions and compound Poisson processes with alternating parameters
Título de la revista
Autores
Ratanov, Nikita
Fecha
2015
Directores
ISSN de la revista
Título del volumen
Editor
Elsevier
Buscar en:
Métricas alternativas
Resumen
Abstract
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.
Palabras clave
Keywords
Erlang distribution , Hyper-exponential distribution , Hypo-exponential distribution , Markov-modulated Poisson process , Poisson process
