Exact Simulation of Point Processes with Stochastic Intensities

Point processes with stochastic arrival intensities are ubiquitous in many areas, including finance, insurance, reliability, health care, and queuing. They can be simulated from a Poisson process by time scaling with the cumulative intensity. The paths of the cumulative intensity are often generated...

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Veröffentlicht in:	Operations research 2011-09, Vol.59 (5), p.1233-1245
Hauptverfasser:	Giesecke, K., Kakavand, H., Mousavi, M.
Format:	Artikel
Sprache:	eng
Schlagworte:	Analysis Applications Applied sciences Approximation Coefficients Determinism Economic models Estimation bias Estimation methods Estimators exact sampling Exact sciences and technology filtering Insurance, economics, finance intensity projection Mathematics Methods Odes Operational research and scientific management Operational research. Management science point process Poisson distribution Poisson process Portfolio theory Probability and statistics Queuing theory. Traffic theory Reliability theory. Replacement problems Sciences and techniques of general use Simulation Simulation methods Statistics Stochastic control theory Stochastic processes Studies Unbiased estimators
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