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Abstract We introduce and study a marked Poisson random measure on a σ-compact Hausdorff space. The underlying parameters of this measure are changing in accordance with the evolution of some… Click to show full abstract
Abstract We introduce and study a marked Poisson random measure on a σ-compact Hausdorff space. The underlying parameters of this measure are changing in accordance with the evolution of some stochastic process. This random measure (also known as a modulated measure) resembles those of the conventional Poisson random measure. Among many applications, the one about Poisson random measures modulated by semi-Markov processes found in stochastic finance.
Keywords:
applications generalized;
measure;
poisson;
generalized poisson;
poisson random;
random measure
Journal Title: Stochastic Analysis and Applications
Year Published: 2020
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Journal Title: Stochastic Analysis and Applications
Year Published: 2020
Link to full text (if available)
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recommendations!