Compound Markov counting processes and their applications to modeling infinitesimally over-dispersed systems

Details Compound Markov counting processes and their applications to modeling infinitesimally over-dispersed systems Compound Markov counting processes and their applications to modeling infinitesimally over-dispersed systems

2010-02-28

arxiv.org/abs/1003.0173v1

Mathematics

Statistics Theory

26 pages

Scientific paper

We propose an infinitesimal dispersion index for Markov counting processes. We show that, under standard moment existence conditions, a process is infinitesimally (over-) equi-dispersed if, and only if, it is simple (compound), i.e. it increases in jumps of one (or more) unit(s), even though infinitesimally equi-dispersed processes might be under-, equi- or over-dispersed using previously studied indices. Compound processes arise, for example, when introducing continuous-time white noise to the rates of simple processes resulting in Levy-driven SDEs. We construct multivariate infinitesimally over-dispersed compartment models and queuing networks, suitable for applications where moment constraints inherent to simple processes do not hold.

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