Technical Prerequisites
Chapter
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Abstract
Poisson processes are Markov jump processes, having jumps of equal (deterministic) size. Without loss of generality, we assume that the jump size is d = 1. We give here a constructive definition of the Poisson process, based on its properties. For the postulates on which it is derived, see Kao (1997, ch. 2) or Resnick (2005, ch. 4).
References
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- Durrett, R. (1996). Stochastic Calculus, A Practical Introduction; CRC: Boca Raton. Google Scholar
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