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.

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