compound poisson processes Latest Research Papers

A characterization of martingale-equivalent mixed compound Poisson processes

The Annals of Applied Probability ◽

10.1214/20-aap1604 ◽

2021 ◽

Vol 31 (2) ◽

Author(s):

Demetrios P. Lyberopoulos ◽

Nikolaos D. Macheras

Keyword(s):

Poisson Processes ◽

Compound Poisson ◽

Compound Poisson Processes ◽

Mixed Compound

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Statistical arbitrage in jump-diffusion models with compound Poisson processes

Annals of Operations Research ◽

10.1007/s10479-021-03965-w ◽

2021 ◽

Author(s):

Erdinc Akyildirim ◽

Frank J. Fabozzi ◽

Ahmet Goncu ◽

Ahmet Sensoy

Keyword(s):

Jump Diffusion ◽

Diffusion Models ◽

Poisson Processes ◽

Compound Poisson ◽

Compound Poisson Processes ◽

Statistical Arbitrage

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The Wavelet Compressibility of Compound Poisson Processes

IEEE Transactions on Information Theory ◽

10.1109/tit.2021.3139287 ◽

2021 ◽

pp. 1-1

Author(s):

Shayan Aziznejad ◽

Julien Fageot

Keyword(s):

Poisson Processes ◽

Compound Poisson ◽

Compound Poisson Processes

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Empirical likelihood ratio for two-sample compound Poisson processes under infinite second moment

Communication in Statistics- Theory and Methods ◽

10.1080/03610926.2020.1801741 ◽

2020 ◽

pp. 1-12

Author(s):

Conghua Cheng

Keyword(s):

Likelihood Ratio ◽

Empirical Likelihood ◽

Poisson Processes ◽

Compound Poisson ◽

Empirical Likelihood Ratio ◽

Second Moment ◽

Compound Poisson Processes

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Subordinated compound Poisson processes of order k

Modern Stochastics Theory and Applications ◽

10.15559/20-vmsta165 ◽

2020 ◽

pp. 395-413

Author(s):

Ayushi Singh Sengar ◽

Neelesh S. Upadhye

Keyword(s):

Poisson Processes ◽

Compound Poisson ◽

Compound Poisson Processes

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Efficient Rare-Event Simulation for Multiple Jump Events in Regularly Varying Random Walks and Compound Poisson Processes

Mathematics of Operations Research ◽

10.1287/moor.2018.0950 ◽

2019 ◽

Vol 44 (3) ◽

pp. 919-942 ◽

Cited By ~ 1

Author(s):

Bohan Chen ◽

Jose Blanchet ◽

Chang-Han Rhee ◽

Bert Zwart

Keyword(s):

Random Walks ◽

Rare Event ◽

Poisson Processes ◽

Rare Event Simulation ◽

Compound Poisson ◽

Compound Poisson Processes ◽

Event Simulation ◽

Regularly Varying

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Moment estimators for the parameters of Ornstein-Uhlenbeck processes driven by compound Poisson processes

Discrete Event Dynamic Systems ◽

10.1007/s10626-019-00276-y ◽

2019 ◽

Vol 29 (1) ◽

pp. 57-77

Author(s):

Yanfeng Wu ◽

Jianqiang Hu ◽

Xinsheng Zhang

Keyword(s):

Poisson Processes ◽

Compound Poisson ◽

Compound Poisson Processes ◽

Moment Estimators

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Uniform asymptotics for compound Poisson processes with regularly varying jumps and vanishing drift

Stochastic Processes and their Applications ◽

10.1016/j.spa.2018.03.012 ◽

2019 ◽

Vol 129 (2) ◽

pp. 572-603 ◽

Cited By ~ 4

Author(s):

Bart Kamphorst ◽

Bert Zwart

Keyword(s):

Poisson Processes ◽

Uniform Asymptotics ◽

Compound Poisson ◽

Compound Poisson Processes ◽

Regularly Varying

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On Brownian Motion Approximation of Compound Poisson Processes with Applications to Threshold Models

Advances in Decision Sciences ◽

10.47654/v23y2019i2p164-191 ◽

2019 ◽

Vol 23 (2) ◽

pp. 164-191

Keyword(s):

Brownian Motion ◽

Poisson Processes ◽

Threshold Models ◽

Compound Poisson ◽

Compound Poisson Processes ◽

Motion Approximation

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Statistical Arbitrage in Jump-Diffusion Models with Compound Poisson Processes

SSRN Electronic Journal ◽

10.2139/ssrn.3427838 ◽

2019 ◽

Author(s):

Erdinc Akyildirim ◽

Frank J. Fabozzi ◽

Ahmet Goncu ◽

Ahmet Sensoy

Keyword(s):

Jump Diffusion ◽

Diffusion Models ◽

Poisson Processes ◽

Compound Poisson ◽

Compound Poisson Processes ◽

Statistical Arbitrage

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compound poisson processes
Recently Published Documents

TOTAL DOCUMENTS

H-INDEX

A characterization of martingale-equivalent mixed compound Poisson processes

Statistical arbitrage in jump-diffusion models with compound Poisson processes

The Wavelet Compressibility of Compound Poisson Processes

Empirical likelihood ratio for two-sample compound Poisson processes under infinite second moment

Subordinated compound Poisson processes of order k

Efficient Rare-Event Simulation for Multiple Jump Events in Regularly Varying Random Walks and Compound Poisson Processes

Moment estimators for the parameters of Ornstein-Uhlenbeck processes driven by compound Poisson processes

Uniform asymptotics for compound Poisson processes with regularly varying jumps and vanishing drift

On Brownian Motion Approximation of Compound Poisson Processes with Applications to Threshold Models

Statistical Arbitrage in Jump-Diffusion Models with Compound Poisson Processes

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compound poisson processesRecently Published Documents

TOTAL DOCUMENTS

H-INDEX

A characterization of martingale-equivalent mixed compound Poisson processes

Statistical arbitrage in jump-diffusion models with compound Poisson processes

The Wavelet Compressibility of Compound Poisson Processes

Empirical likelihood ratio for two-sample compound Poisson processes under infinite second moment

Subordinated compound Poisson processes of order k

Efficient Rare-Event Simulation for Multiple Jump Events in Regularly Varying Random Walks and Compound Poisson Processes

Moment estimators for the parameters of Ornstein-Uhlenbeck processes driven by compound Poisson processes

Uniform asymptotics for compound Poisson processes with regularly varying jumps and vanishing drift

On Brownian Motion Approximation of Compound Poisson Processes with Applications to Threshold Models

Statistical Arbitrage in Jump-Diffusion Models with Compound Poisson Processes

compound poisson processes
Recently Published Documents