Simulating Point Processes by Intensity Projection

Download or read book Simulating Point Processes by Intensity Projection written by Kay Giesecke and published by . This book was released on 2009 with total page 9 pages. Available in PDF, EPUB and Kindle. Book excerpt: Point processes with stochastic intensities are ubiquitous in many application areas, including finance, insurance, reliability and queuing. They can be simulated from standard Poisson arrivals by time-scaling with the cumulative intensity, whose path is typically generated with a discretization method. However, discretization introduces bias into the simulation results. This paper proposes a method for the exact simulation of point processes with stochastic intensities. The method leads to unbiased estimators. It is illustrated for a point process whose intensity follows an affine jump-diffusion process.