Difference of independent Poisson processes
ID: difference-of-independent-poisson-processes
For independent Poisson processes with rates , their difference is a Lévy process with characteristic function . When the combined rate is positive, its jumps occur at rate , with direction probabilities proportional to the two rates. Equal unit rates give and a rate-two Compound Poisson process with Rademacher distribution jumps. Its paths are integer-valued, càdlàg, and of finite variation on compact intervals.
New to topics? Read the docs here!