About: Intensity of counting processes

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The intensity of a counting process is a measure of the rate of change of its predictable part. If a stochastic process is a counting process, then it is a submartingale, and in particular its Doob-Meyer decomposition is where is a martingale and is a predictable increasing process. is called the cumulative intensity of and it is related to by .

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  • The intensity of a counting process is a measure of the rate of change of its predictable part. If a stochastic process is a counting process, then it is a submartingale, and in particular its Doob-Meyer decomposition is where is a martingale and is a predictable increasing process. is called the cumulative intensity of and it is related to by . (en)
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  • The intensity of a counting process is a measure of the rate of change of its predictable part. If a stochastic process is a counting process, then it is a submartingale, and in particular its Doob-Meyer decomposition is where is a martingale and is a predictable increasing process. is called the cumulative intensity of and it is related to by . (en)
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  • Intensity of counting processes (en)
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