On mixed poisson processes and martingales

Bronius Grigelionis

Scandinavian Actuarial Journal, 1998, vol. 1998, issue 1, 81-88

Abstract: In this paper O. Lundberg's martingale characterization of mixed Poisson processes with finite mean value within birth processes is extended for mixed Poisson processes with arbitrary mixing distributions within general point processes. Some applications of this result are also discussed.

Date: 1998
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DOI: 10.1080/03461238.1998.10413994

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