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Forward-Backward Doubly Stochastic Differential Equations with Brownian Motions and Poisson Process
Forward-backward doubly stochastic differential equations stochastic analysis random measure Poisson process
2011/11/7
The existence and uniqueness for solution of backward doubly stochastic differential equations with Brownian motions and Poisson process and that of forward-backward doubly stochastic differential equ...
The Space-Fractional Poisson Process
Space-fractional Poisson process Backward shift operator Discrete stable distributions Stable subordinator
2011/9/8
Abstract: In this paper we introduce the space-fractional Poisson process whose state probabilities $p_k^\alpha(t)$, $t>0$, $\alpha \in (0,1]$, are governed by the equations $(\mathrm d/\mathrm dt)p_k...
Behavior of an Almost Semicontinuous Poisson Process on a Markov Chain Upon Attainment of A Level
Semicontinuous Poisson Process Markov Chain Probability
2011/8/31
Abstract: We consider the almost semi-continuous processes defined on a finite Markov chain. The representation of the moment generating functions for the absolute maximum after achievement positive l...
Optimal detection of a change-set in a spatial Poisson process
Sequential detection problem optimal stopping point process
2010/12/14
We generalize the classic change-point problem to a “change-set” framework: a spatial Poisson process changes its intensity on an unobservable random set. Optimal detection of the set is defined by ma...
A generalized quasi-likelihood estimation of a Poisson process
Quasi-likelihood method Non-orthogonal estimating functions
2010/9/15
In this paper, generalized quasi-likelihood estimation for a Poisson Process model with a dependent structure is developed incorporating knowledge of skewness and kurtosis. This is a generalization of...
Some Results for the Compound Poisson Process That is Perturbed by Diffusion
compound Poisson process diffusion ruin Probability
2007/12/10
In the present paper surplus process perturbed by diffusion are considered. The distributions of the surplus immediately before and at ruin corresponding to the probabilities of ruin caused by oscilla...