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Compositions of Poisson and Gamma processes
Published 3 Jul 2017 in math.PR | (1707.00523v1)
Abstract: In the paper we study the models of time-changed Poisson and Skellam-type processes, where the role of time is played by compound Poisson-Gamma subordinators and their inverse (or first passage time) processes. We obtain explicitly the probability distributions of considered time-changed processes and discuss their properties.
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