Results 11 to 20 of about 568,969 (316)
A class of CTRWs: Compound fractional Poisson processes [PDF]
, 2011 This chapter is an attempt to present a mathematical theory of compound fractional Poisson processes. The chapter begins with the characterization of a well-known L\'evy process: The compound Poisson process.
Scalas, Enrico
core +7 more sources
Optimal control of compound Poisson processes [PDF]
ITM Web of Conferences, 2022 The problem of controlling a compound Poisson process until it leaves an interval is considered. This type of problem is known as a homing problem. To determine the value of the optimal control, we must solve a nonlinear integro-differential equation ...
Lefebvre Mario
doaj +3 more sources
Ruin Probability in Compound Poisson Process with Investment [PDF]
Journal of Applied Mathematics, 2012 We consider that the surplus of an insurer follows compound Poisson process and the insurer would invest its surplus in risky assets, whose prices satisfy the Black-Scholes model. In the risk process, we decompose the ruin probability into the sum of two
Yong Wu, Xiang Hu
doaj +3 more sources
Alternative Forms of Compound Fractional Poisson Processes [PDF]
Abstract and Applied Analysis, 2012 We study here different fractional versions of the compound Poisson process. The fractionality is introduced in the counting process representing the number of jumps as well as in the density of the jumps themselves.
Luisa Beghin, Claudio Macci
doaj +5 more sources
A Stochastic String with a Compound Poisson Process [PDF]
Abstract and Applied Analysis, 2013 We investigate a compound Poisson infinite factor diffusion model which describes the relationship between the infinite-dimension random risk resource and the corresponding stochastic process.
Sheng Fan
doaj +3 more sources
Compound Poisson point processes, concentration and oracle inequalities [PDF]
Journal of Inequalities and Applications, 2019 This note aims at presenting several new theoretical results for the compound Poisson point process, which follows the work of Zhang et al. (Insur. Math. Econ. 59:325–336, 2014).
Huiming Zhang, Xiaoxu Wu
doaj +4 more sources
IOP Conference Series: Materials Science and Engineering, 2019 One stochastic process that is often used to model real phenomena is the compound Poisson process (CPP). CPP is a process in which a component in the process of the events occurred is assumed to be a Poisson process with a certain intensity function ...
S. Abdullah +3 more
semanticscholar +2 more sources
On the Estimation for Compound Poisson Inarch Processes
Revstat Statistical Journal, 2021 Considering the wide class of discrete Compound Poisson INARCH models, introduced in [6], the main goal of this paper is to develop and compare parametric estimation procedures for first-order models, applicable without specifying the conditional ...
E. Gonçalves +2 more
doaj +2 more sources
Compound Poisson process approximation
The Annals of Probability, 2002 Point processes on the metric space \(\Gamma\) are considered. On the basis of the metric \(d_0\) on \(\Gamma\) the metric \(d_1\) on the space \({\mathcal X}\) of all finite subsets of \(\Gamma\) is defined. On the basis of the metric \(d_1\) the distance \(d_2\) between two probability measures on \({\mathcal X}\) is defined. To estimate the distance
A. Barbour, Marianne Månsson
semanticscholar +4 more sources
Subordinated compound Poisson processes of order k [PDF]
Modern Stochastics: Theory and Applications, 2020 12 ...
Sengar, Ayushi Singh +1 more
openaire +2 more sources