Intensity of counting processes
id:
intensity-of-counting-processes-218-3199870
title:
Intensity of counting processes
text:
The intensity λ of a counting process is a measure of the rate of change of its predictable part. If a stochastic process { N, t ≥ 0 } is a counting process, then it is a submartingale, and in particular its Doob-Meyer decomposition is
- N = M + Λ where M is a martingale and Λ is a predictable increasing process. Λ is called the cumulative intensity of N and it is related to λ by
- Λ = ∫ 0 t λ d s.
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wiki
category slug:
encyclopedia
description:
original url:
https://en.wikipedia.org/wiki/Intensity_of_counting_processes
date created:
2015-06-05T19:28:33Z
date modified:
2024-09-13T11:30:05Z
main entity:
{"identifier":"Q25109797","url":"https://www.wikidata.org/entity/Q25109797"}
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fields total:
13
integrity:
14