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Simulating point processes by intensity projection
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
doi:10.1109/wsc.2008.4736114
dblp:conf/wsc/GieseckeKM08
fatcat:cos3dztrwfcj7fvxqb7sz5zrde