Abstract
In the previous chapters we described observable random processes X = (ξ t ), t ≥ 0, which possessed continuous trajectories and had properties analogous, to a certain extent, to those of a Wiener process. Chapters 18 and 19 will deal with the case of an observable process that is a point process whose trajectories are pure jump functions (a Poisson process with constant or variable intensity is a typical example).
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Notes and references
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Liptser, R.S., Shiryayev, A.N. (1978). Random point processes: Stieltjes stochastic integrals. In: Statistics of Random Processes II. Applications of Mathematics, vol 6. Springer, New York, NY. https://doi.org/10.1007/978-1-4757-4293-0_8
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DOI: https://doi.org/10.1007/978-1-4757-4293-0_8
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