A note on Marked Point Processes and multivariate subordination

作者：Jevtic Petar^*; Marena Marina; Semeraro Patrizia

来源：Statistics & Probability Letters, 2017, 122: 162-167.

DOI：10.1016/j.spl.2016.11.008

• Marked Poisson processes
• Subordinated Levy processes
• Multivariate Poisson random measure
• Multivariate subordinators
• Multivariate generalized asymmetric
• Laplace motion

The aim of this paper is to state a correspondence between marked Poisson processes and multivariate subordinated Levy processes. We prove that, under suitable conditions, marked Poisson processes are in law subordinated Brownian motions and we provide their Levy 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.

• 出版日期2017-3