Some martingale characterizations of compound mixed Poisson processes

2020/04/16 by Demetrios P. Lyberopoulos, Lyberopoulos, Demetrios P., N. D. Macheras +1
Economics, Econometrics and Finance · Mathematics · #60G44 #91B30 #Advanced Banach Space Theory #FOS: Mathematics #Primary 60G50 #Probability (math.PR) #Stochastic processes and financial applications #secondary 28A50

paper · pdf · doi:10.48550/arxiv.2004.07835

openalex publication_date 2020/04/16 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

Some martingale characterizations of compound mixed Poisson processes are proven, extending S. Watanabe's (1964) martingale characterization of Poisson processes as well as the main result of Lyberopoulos and Macheras (2012), concerning martingale characterizations of mixed Poisson processes.

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