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Quantitative Finance · Glosarium

Apa itu Conditional intensity, compensator?

Dikenal juga sebagai: conditional intensity · compensator

Definition 7.2 Quantitative Methods · Bab 7 — Point Processes and Hawkes Processes

The conditional intensity of a counting process is the adapted process λt\lambda_t with P(Nt+dt−Nt=1∣Ft)=λt dt+o(dt)\P(N_{t+dt} - N_t = 1 \mid \mathcal F_t) = \lambda_t\,dt + o(dt): the instantaneous rate of an event given the past. Its compensator is Λt=∫0tλs ds\Lambda_t = \int_0^t\lambda_s\,ds, the predictable increasing process with Nt−ΛtN_t - \Lambda_t a local martingale.

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