A note on Marked Point Processes and multivariate subordination

Petar Jevtić, Marina Marena and Patrizia Semeraro

Statistics & Probability Letters, 2017, vol. 122, issue C, 162-167

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.

Keywords: Marked Poisson processes; Subordinated Lévy processes; Multivariate Poisson random measure; Multivariate subordinators; Multivariate generalized asymmetric Laplace motion (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (1)

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DOI: 10.1016/j.spl.2016.11.008

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