Exact simulation of point processes with stochastic intensities

19Citations
Citations of this article
66Readers
Mendeley users who have this article in their library.
Get full text

Abstract

Point processes with stochastic arrival intensities are ubiquitous in many areas, including finance, insurance, reliability, health care, and queuing. They can be simulated from a Poisson process by time scaling with the cumulative intensity. The paths of the cumulative intensity are often generated with a discretization method. However, discretization introduces bias into the simulation results. The magnitude of the bias is difficult to quantify. This paper develops a sampling method that eliminates the need to discretize the cumulative intensity. The method is based on a projection argument and leads to unbiased simulation estimators. It is exemplified for a point process whose intensity is a function of a jump-diffusion process and the point process itself. In this setting, the method facilitates the exact sampling of both the point process and the driving jump-diffusion process. Numerical experiments demonstrate the effectiveness of the method. Subject classifications: point process; intensity projection; filtering; exact sampling. Area of review: Simulation. History: Received March 2010; revisions received June 2010, September 2010; accepted September 2010. © 2011 INFORMS.

Cite

CITATION STYLE

APA

Giesecke, K., Kakavand, H., & Mousavi, M. (2011). Exact simulation of point processes with stochastic intensities. Operations Research, 59(5), 1233–1245. https://doi.org/10.1287/opre.1110.0962

Register to see more suggestions

Mendeley helps you to discover research relevant for your work.

Already have an account?

Save time finding and organizing research with Mendeley

Sign up for free