Compositions of Poisson and Gamma processes
Volume 4, Issue 2 (2017), pp. 161–188
Pub. online: 29 June 2017
Type: Research Article
Open Access
Open Access
Received
9 February 2017
9 February 2017
Revised
16 May 2017
16 May 2017
Accepted
2 June 2017
2 June 2017
Published
29 June 2017
29 June 2017
Abstract
In the paper we study the models of time-changed Poisson and Skellam-type processes, where the role of time is played by compound Poisson-Gamma subordinators and their inverse (or first passage time) processes. We obtain explicitly the probability distributions of considered time-changed processes and discuss their properties.
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