Itoh, Yuki - Graduate School of Economics, Hitotsubashi University - 2008
process by a homogeneous compound Poisson process and extend our model to an inhomogeneous compound Poisson process. Interest … methods of calculating the transition density of an inhomogeneous compound Poisson process is necessary for calculating the … methods. Therefore we propose the new procedure for calculating it by a piecewise homogeneous compound Poisson process. …