Hypo-exponential distributions and compound Poisson processes with alternating parameters Academic Article

abstract

  • © 2015 Elsevier B.V.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.

publication date

  • 2015/12/1

keywords

  • Compound Poisson Process
  • Compound Poisson process
  • Exponential distribution
  • Financial Modeling
  • Financial modeling
  • Jump
  • Modulation
  • Point Process
  • Point process
  • Random variable
  • Random variables

International Standard Serial Number (ISSN)

  • 0167-7152

number of pages

  • 8

start page

  • 71

end page

  • 78