A thinning result for pure jump processes

Fred Böker

Stochastic Processes and their Applications, 1984, vol. 16, issue 2, 171-177

Abstract: A standard thinning procedure for point processes is extended to processes of pure jump type in which each jump is retained with probability p or deleted with probability 1 - p, independently of everything else. Two theorems are proved, the first gives a sufficient condition for the existence of thinned pure jump processes, the second concerns the convergence of such processes to pure jump processes whose increments are generated by a Cox process. Some generalizations are discussed.

Date: 1984
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