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A martingale characterization of Pólya-Lundberg processes
Published online by Cambridge University Press: 14 July 2016
Abstract
We study exponential families within the class of counting processes and show that a mixed Poisson process belongs to an exponential family if and only if it is either a Poisson process or has a gamma structure distribution. This property can be expressed via exponential martingales.
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- Research Article
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- © Applied Probability Trust 2006
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