Schmidt, Thorsten - In: Risks 2 (2014) 1, pp. 3-24
Shot-noise processes generalize compound Poisson processes in the following way: a jump (the shot) is followed by a … or self-exciting processes exhibit similar features. We give a general account of shot-noise processes with time … with shot-noise processes. Besides this, we obtain some highly tractable examples and constitute a useful modeling tool for …
