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Quantitative Finance · Glossaire

Qu'est-ce que « Inhomogeneous Poisson process, Cox process » ?

Aussi appelé : inhomogeneous Poisson process · Cox process

Definition 7.3 Quantitative Methods · Chapitre 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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