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- W4247199681 abstract "A compound Poisson process whose randomized time is an independent Poisson process is called a compound Poisson process with Poisson subordinator. We provide its probability distribution, which is expressed in terms of the Bell polynomials, and investigate in detail both the special cases in which the compound Poisson process has exponential jumps and normal jumps. Then for the iterated Poisson process we discuss some properties and provide convergence results to a Poisson process. The first-crossing time problem for the iterated Poisson process is finally tackled in the cases of (i) a decreasing and constant boundary, where we provide some closed-form results, and (ii) a linearly increasing boundary, where we propose an iterative procedure to compute the first-crossing time density and survival functions." @default.
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- W4247199681 date "2015-06-01" @default.
- W4247199681 modified "2023-10-03" @default.
- W4247199681 title "Compound Poisson Process with a Poisson Subordinator" @default.
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- W4247199681 doi "https://doi.org/10.1017/s0021900200012511" @default.
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