Archivio Istituzionale della RicercaThe aim of this paper is to state a correspondence between marked Poisson processes and multivariate subordinated Lévy processes. We prove that, under suitable conditions, marked Poisson processes are in law subordinated Brownian motions and we provide their Lévy triplet and characteristic function. We introduce the class of multivariate Gaussian marked Poisson processes and prove that–in law–they are multivariate subordinated Brownian motions
A note on Marked Point Processes and multivariate subordination / Jevtić, Petar; Marena, Marina; Semeraro, Patrizia. - In: STATISTICS & PROBABILITY LETTERS. - ISSN 0167-7152. - 122:(2017), pp. 162-167. [10.1016/j.spl.2016.11.008]
A note on Marked Point Processes and multivariate subordination
SEMERARO, PATRIZIA
2017
Abstract
The aim of this paper is to state a correspondence between marked Poisson processes and multivariate subordinated Lévy processes. We prove that, under suitable conditions, marked Poisson processes are in law subordinated Brownian motions and we provide their Lévy triplet and characteristic function. We introduce the class of multivariate Gaussian marked Poisson processes and prove that–in law–they are multivariate subordinated Brownian motions
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https://hdl.handle.net/11583/2657016