Search Results - subject:"Poisson Process"

Forecasting a class of doubly stochastic Poisson processes

Bouzas, P.; Aguilera, A.; Valderrama, M. - In: Statistical Papers 43 (2002) 4, pp. 507-523

Persistent link: https://www.econbiz.de/10004970897

On Rescaled Poisson Processes and the Brownian Bridge

Schoenberg, Frederic - In: Annals of the Institute of Statistical Mathematics 54 (2002) 2, pp. 445-457

Persistent link: https://www.econbiz.de/10005616155

Pricing of cap-interest rates based on renewal processes

Beran, Jan; Ocker, Dirk - Zentrum für Finanzen und Ökonometrie, Fachbereich … - 2002

Pricing of cap insurance contracts is considered for political mortgage rates. A simple stochastic process for mortgage rates is proposed. The process is based on renewal processes for modelling the length of periods with downward and upward trend respectively. Prices are calculated by...

Persistent link: https://www.econbiz.de/10005357898

Super Contact and Related Optimality Conditions : A Supplement to AvinashDixits

Dumas, Bernard - 1989

Dixit (1988) observed that the mathematical construct of "regulated Brownian motion" developed by Harrison (1985) had proved useful in economic models of decision-making under uncertainty. In a recent note he provided a number of methods for calculating expected discounted payoff functions based...

Persistent link: https://www.econbiz.de/10012476138

Statistical analysis of the inhomogeneous telegrapher's process

Iacus, Stefano - Dipartimento di Economia, Management e Metodi … - 2001

We consider a problem of estimation for the telegrapher’s processon the line, say X(t), driven by a Poisson process … functions for the Poisson process. We propose anestimator for the parameter of P and we discuss its properties as afirst attempt …

Persistent link: https://www.econbiz.de/10005007459

Nonparametric Estimation of the Cumulative Intensity Function for a Nonhomogeneous Poisson Process from Overlapping Realizations

Arkin, Bradford L.; Leemis, Lawrence M. - In: Management Science 46 (2000) 7, pp. 989-998

A nonparametric technique for estimating the cumulative intensity function of a nonhomogeneous Poisson process from one …

Persistent link: https://www.econbiz.de/10009203850

A Note on Assemble-to-Order Systems with Batch Ordering

Song, Jing-Sheng - In: Management Science 46 (2000) 5, pp. 739-743

when customer orders are realized. Customer orders form a multivariate compound Poisson process, component replenishment …

Persistent link: https://www.econbiz.de/10009214231

Incomplete markets with jumps and informed agents

Elliott, Robert J.; Jeanblanc, Monique - In: Computational Statistics 50 (1999) 3, pp. 475-492

An asset is considered whose logarithmic price is the sum of a drift term, a Brownian motion and jumps of a Poisson … process. Various items of future information about the price process are considered available to an informed agent. The …

Persistent link: https://www.econbiz.de/10010847724

Incomplete markets with jumps and informed agents

Elliott, Robert J.; Jeanblanc, Monique - In: Mathematical Methods of Operations Research 50 (1999) 3, pp. 475-492

Persistent link: https://www.econbiz.de/10010950132

Statistical Analysis of Temporal Variations of Seismicity Level in Some Italian Regions

Rotondi, Renata - In: Natural Hazards 19 (1999) 2, pp. 139-150

generalized Poisson process through a stepwise procedure. In this work, we extend such a method estimating the number of …

Persistent link: https://www.econbiz.de/10010995568