compound poisson processes
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A characterization of martingale-equivalent mixed compound Poisson processes

2021 ◽  
Vol 31 (2) ◽  
Author(s):  
Demetrios P. Lyberopoulos ◽  
Nikolaos D. Macheras
Keyword(s):  
Poisson Processes ◽  
Compound Poisson ◽  
Compound Poisson Processes ◽  
Mixed Compound

scholarly journals Statistical arbitrage in jump-diffusion models with compound Poisson processes

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

scholarly journals The Wavelet Compressibility of Compound Poisson Processes

2021 ◽  
pp. 1-1
Author(s):  
Shayan Aziznejad ◽  
Julien Fageot
Keyword(s):  
Poisson Processes ◽  
Compound Poisson ◽  
Compound Poisson Processes

scholarly journals Subordinated compound Poisson processes of order k

2020 ◽  
pp. 395-413
Author(s):  
Ayushi Singh Sengar ◽  
Neelesh S. Upadhye
Keyword(s):  
Poisson Processes ◽  
Compound Poisson ◽  
Compound Poisson Processes

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

2019 ◽  
Vol 44 (3) ◽  
pp. 919-942 ◽  
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

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

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

scholarly journals Statistical Arbitrage in Jump-Diffusion Models with Compound Poisson Processes

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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