Riemann surfaces for integer counting processes

Abstract

Integer counting processes increment of an integer value at transitions between states of an underlying Markov process. The generator of a counting process, which depends on a parameter conjugate to the increments, defines a complex algebraic curve through its characteristic equation, and thus a compact Riemann surface. We show that the probability of a counting process can then be written as a contour integral on that Riemann surface. Several examples are discussed in details.