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Quantitative Finance · Glosarium

Apa itu Poisson process, compound Poisson process?

Dikenal juga sebagai: Poisson process · compound Poisson process

Definition 6.1 Quantitative Methods · Bab 6 — Jump Processes

A Poisson process with rate λ>0\lambda > 0 is a counting process NtN_t with N0=0N_0 = 0, independent increments and Nt−Ns∼Poisson(λ(t−s))N_t - N_s \sim \mathrm{Poisson}(\lambda(t - s)). A compound Poisson process is Jt=∑i=1NtYiJ_t = \sum_{i=1}^{N_t}Y_i, with the jump sizes YiY_i independent, identically distributed and independent of NN.

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