Abstract
This article deals with a class of random measures formed of doubly stochastic marked random measures that assumes parameters in accordance with the evolution of some stochastic process, called a modulator. Throughout the paper, restrictions imposed on random measures (to be modulated) and the modulator are kept to a minimum. One of the objective of these studies are intensities and reward rates of modulated random measures that can play a significant role in stochastic control and optimization. Analytically tractable formulas for such functionals are obtained and examples and applications are discussed and treated in details.
| Original language | English (Ireland) |
|---|---|
| Pages (from-to) | 971-988 |
| Number of pages | 18 |
| Journal | STOCHASTIC ANALYSIS AND APPLICATIONS |
| Volume | 22 |
| Issue number | 4 |
| DOIs | |
| Publication status | Published - 1 Jul 2004 |
Keywords
- Cox measures
- Markov modulated Poisson process
- Modulated random measure
- Poisson measures
- Potential for modulation
- Reward rates
- Semi-Markov modulated random measure
- Stochastic intensities
Authors (Note for portal: view the doc link for the full list of authors)
- Authors
- Agarwal, R,Dshalalow, JH,O'Regan, D