Abstract
A conditional Poisson process (often called a double stochastic Poisson process) is characterized as a random time transformation of a Poisson process with unit intensity. This characterization is used to exhibit the jump times and sizes of these processes, and to study their limiting behavior. A conditional Poisson process, whose intensity is a function of a Markov process, is discussed. Results similar to those presented can be obtained for any process with conditional stationary independent increments.
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