Simulating point processes by intensity projection

Kay Giesecke, Hossein Kakavand, Mohammad Mousavi
2008 2008 Winter Simulation Conference  
Point processes with stochastic intensities are ubiquitous in many application areas, including finance, insurance, reliability and queuing. They can be simulated from standard Poisson arrivals by time-scaling with the cumulative intensity, whose path is typically generated with a discretization method. However, discretization introduces bias into the simulation results. This paper proposes a method for the exact simulation of point processes with stochastic intensities. The method leads to
more » ... ased estimators. It is illustrated for a point process whose intensity follows an affine jump-diffusion process.
doi:10.1109/wsc.2008.4736114 dblp:conf/wsc/GieseckeKM08 fatcat:cos3dztrwfcj7fvxqb7sz5zrde