Birth and death processes as projections of higher-dimensional poisson processes

Birth and death processes as projections of higher-dimensional poisson processes

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Article ID: iaor1997272
Country: United Kingdom
Volume: 27
Issue: 4
Start Page Number: 911
End Page Number: 930
Publication Date: Dec 1995
Journal: Advances in Applied Probability
Authors:
Keywords: stochastic processes
Abstract:

Birth and death processes can be constructed as projections of higher-dimensional Poisson processes. The existence and uniqueness in the strong sense of the solutions of the time change problem are obtained. It is shown that the solution of the time change problem is equivalent to the solution of the corresponding martingale problem. Moreover, the processes obtained by the projection method are ergodic under translations.

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