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Quantitative Finance · Glossary

What is Point process, counting process?

Also known as: point process · counting process

Definition 7.1 Quantitative Methods · Chapter 7 — Point Processes and Hawkes Processes

A point process on [0,∞)[0, \infty) is a random, locally finite set of event times t1<t2<…t_1 < t_2 < \dots. Its counting process is Nt=#{i:ti≤t}N_t = \#\{i : t_i \le t\}, a right-continuous, integer-valued, nondecreasing adapted process with jumps of one.

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