Questions tagged [random-measures]

For questions related to random measures (which can be defined as transition kernels or as random elements).

In probability theory, a random measure is a measure-valued random element. Random measures are for example used in the theory of random processes, where they form many important point processes such as Poisson point processes and Cox processes.

Random measures can be defined as transition kernels or as random elements. Both definitions are equivalent.

To know more on this, check this link.

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Showing Integral wrt random possion measure has stationary and independent increments

Suppose $M$ is a Poisson random measure on $(E,\mathcal{E}) \equiv (\mathbb{R}_+\times\mathbb{R}^d, \mathcal{B}(\mathbb{R}_+\times\mathbb{R}^d))$ with mean measure $\nu\equiv Leb\times\lambda$. This means that: $\forall A \in \mathcal{E}$, the…
TomG
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