Poisson approximations for Markov-driven point processes

被引：2
|
作者：
Blasikiewicz, M [1 ]
Brown, TC [1 ]
机构：
[1] UNIV WESTERN AUSTRALIA, DEPT MATH, NEDLANDS, WA 6009, AUSTRALIA
来源：
STOCHASTIC PROCESSES AND THEIR APPLICATIONS | 1996年 / 62卷 / 01期
关键词：
Poisson approximation; Markov jump processes;
D O I：
10.1016/0304-4149(95)00080-1
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
An asymptotically finite bound is derived for the total variation distance between the distribution of N(t) and the Poisson distribution with mean EN(t) when N is a simple point process whose interpoint times are exponential with means determined by an ergodic, finite-state Markov chain and when it is a Cox process with a stationary, irreducible, finite-state continuous-time Markov chain for intensity.
引用
收藏
页码：179 / 189
页数：11
相关论文
共 50 条
  • [1] An optimal investment model with Markov-driven volatilities
    Luo, Shangzhen
    Zeng, Xudong
    QUANTITATIVE FINANCE, 2014, 14 (09) : 1651 - 1661
  • [2] POISSON APPROXIMATIONS OF MULTINOMIAL DISTRIBUTIONS AND POINT-PROCESSES
    DEHEUVELS, P
    PFEIFER, D
    JOURNAL OF MULTIVARIATE ANALYSIS, 1988, 25 (01) : 65 - 89
  • [3] PARTITIONS OF POINT-PROCESSES - MULTIVARIATE POISSON APPROXIMATIONS
    SERFOZO, RF
    STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 1985, 20 (02) : 281 - 294
  • [4] MULTITYPE MARKOV POINT-PROCESSES - SOME APPROXIMATIONS
    ISHAM, V
    PROCEEDINGS OF THE ROYAL SOCIETY OF LONDON SERIES A-MATHEMATICAL PHYSICAL AND ENGINEERING SCIENCES, 1984, 391 (1800): : 39 - 53
  • [5] A Markov-Driven Portfolio Execution Strategy with Market Impact
    Yang, Qingqing
    Ching, Wai-Ki
    Siu, Tak-Kuen
    Zhang, Zhiwen
    NUMERICAL MATHEMATICS-THEORY METHODS AND APPLICATIONS, 2018, 11 (04) : 701 - 728
  • [6] Extending Markov processes in weak duality by Poisson point processes of excursions
    Chen, Zhen-Qing
    Fukushima, Masatoshi
    Ying, Jiangang
    STOCHASTIC ANALYSIS AND APPLICATIONS, 2007, 2 : 153 - +
  • [7] POISSON APPROXIMATIONS FOR TIME-CHANGED POINT-PROCESSES
    BROWN, TC
    NAIR, MG
    STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 1988, 29 (02) : 247 - 256
  • [8] Markov-Driven Graph Convolutional Networks for Social Spammer Detection
    Deng, Leyan
    Wu, Chenwang
    Lian, Defu
    Wu, Yongji
    Chen, Enhong
    IEEE TRANSACTIONS ON KNOWLEDGE AND DATA ENGINEERING, 2023, 35 (12) : 12310 - 12322
  • [9] Poisson approximations via Chen-Stein for non-Markov processes
    Abadi, Miguel
    IN AND OUT OF EQUILIBRIUM 2, 2008, 60 : 1 - 19
  • [10] Signed Poisson approximations for Markov chains
    Cekanavicius, V
    Mikalauskas, M
    STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 1999, 82 (02) : 205 - 227
12345