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Option Pricing with a General Marked Point Process
Mathematics of Operations Research, 2001This paper examines the impact of a random number of price changes on the options valuation. The model introduces the structure of the general marked point processes (MPP). This kind of model allows us to take account of more general distributions of interarrival times than usual jump-diffusion models.
Jean-Luc Prigent
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On stochastie processes with an embedded marked point process
Statistics, 1982In the paper stochastic processes with an embedded marked point process (PMP) are investigated. The embedded points split the PMP up to so-called cycles. A great number of classes of stochastic processes, such as piecewise Markov, regenerative, semi-regenerative etc., can be understood as special PMP where the cycles form a Markov chain.
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Marked point process analysis of epidermal nerve fibres
Journal of Microscopy, 2021Epidermal nerve fibre (ENF) density and summed length of ENFs per epidermal surface area are reduced, and ENFs may appear more clustered within the epidermis in subjects suffering from diabetic neuropathy compared to healthy subjects.
Farnaz Ghorbanpour +2 more
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Assessing hail risk for property insurers with a dependent marked point process
Journal of the Royal Statistical Society: Series A (Statistics in Society), 2021Hail risk is among the most challenging perils to insure and property damage due to hailstones has been on the top of the list of annual claims for most non‐life insurers.
Peng Shi, G. Fung, Dan Dickinson
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Definition of distance for nonlinear time series analysis of marked point process data
Physics Letters, Section A: General, Atomic and Solid State Physics, 2017Kazuyuki Aihara, Yoshito Hirata
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Disentangling mark/point interaction in marked-point processes
Computational Statistics & Data Analysis, 2007zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Renshaw, E., Mateu, J., Saura, F.
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Quality Technology & Quantitative Management, 2023
In this paper, monitoring the time between events is discussed. The control chart of the time between events in multivariate mode discusses the conditions under which the Hawkes point process generates the time data. It is also necessary to consider that
Mohammadreza Mirzaei Novin +1 more
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In this paper, monitoring the time between events is discussed. The control chart of the time between events in multivariate mode discusses the conditions under which the Hawkes point process generates the time data. It is also necessary to consider that
Mohammadreza Mirzaei Novin +1 more
semanticscholar +1 more source
Marked point process representation of oscillatory dynamics underlying working memory
Journal of Neural Engineering, 2020Objective. Computational models of neural activity at the meso-scale suggest the involvement of discrete oscillatory bursts as constructs of cognitive processing during behavioral tasks. Classical signal processing techniques that attempt to infer neural
Shailaja Akella +3 more
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Marked point process hotspot maps for homicide and gun crime prediction in Chicago
International Journal of Forecasting, 2014George Mohler
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Warranty claims as marked point processes
Nonlinear Analysis: Theory, Methods & Applications, 2001An unified study of total warranty expenses generated by sold items of the same kind is developed. It uses a representation of the warranty expenses as a marked point process. Particular results are obtained for non-stationary Poisson purchase process with periodic intensity function.
Dimitrov, Boyan N. +2 more
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