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Quantitative Finance · Glossary

What is Inhomogeneous Poisson process, Cox process?

Also known as: inhomogeneous Poisson process · Cox process

Definition 7.3 Quantitative Methods · Chapter 7 — Point Processes and Hawkes Processes

An inhomogeneous Poisson process has a deterministic intensity λ(t)\lambda(t): counts in disjoint intervals are independent Poisson with means ∫λ(t) dt\int\lambda(t)\,dt. A Cox process (doubly stochastic Poisson process) is a Poisson process whose intensity is itself a random process, independent of the events it drives.

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