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ON A POISSON HYPERBOLIC STAIRCASE

Published online by Cambridge University Press:  01 January 1999

Benny Levikson
Affiliation:
Department of Statistics, Haifa University, Haifa, Israel
Tomasz Rolski
Affiliation:
Mathematical Institute, Wrocław University, Wrocław, Poland
Gideon Weiss
Affiliation:
Department of Statistics, Haifa University, Haifa, Israel

Abstract

We consider a process that starts at height y, stays there for a time X0 ∼ exp(y) when it drops to a level Z1U(0, y). Thereafter it stays at level Zn for time Xn ∼ exp(Zn), then drops to a level Zn+1U(0,Zn). We investigate properties of this process, as well as the Poisson hyperbolic process which is obtained by randomizing the starting point y of the above process. This process is associated with a rate 1 Poisson process in the positive quadrant: Its path is the minimal RCLL decreasing step function through Poisson points in the positive quadrant. The finite dimensional distributions are then multivariate exponential in sense of Marshall-Olkin.

Type
Research Article
Copyright
© 1999 Cambridge University Press

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