STOCHASTIC-PROCESSES DIRECTED BY RANDOMIZED TIME

Authors
LEE MLT WHITMORE GA
Citation
Mlt. Lee et Ga. Whitmore, STOCHASTIC-PROCESSES DIRECTED BY RANDOMIZED TIME, Journal of Applied Probability, 30(2), 1993, pp. 302-314
Citations number
28
Categorie Soggetti
Statistic & Probability","Statistic & Probability
Journal title
Journal of Applied Probability → ACNP
ISSN journal
00219002
Volume
30
Issue
2
Year of publication
1993
Pages
302 - 314
Database
ISI
SICI code
0021-9002(1993)30:2<302:SDBRT>2.0.ZU;2-P
Abstract
The paper investigates stochastic processes directed by a randomized t ime process. A new family of directing processes called Hougaard proce sses is introduced. Monotonicity properties preserved under subordinat ion, and dependence among processes directed by a common randomized ti me are studied. Results for processes subordinated to Poisson and stab le processes are presented. Potential applications to shock models and threshold models are also discussed. Only Markov processes are consid ered.