Distribution functions of Poisson random integrals: Analysis and computation

Details Distribution functions of Poisson random integrals: Analysis and computation Distribution functions of Poisson random integrals: Analysis and computation

2010-04-29

arxiv.org/abs/1004.5338v1

Mathematics

Probability

28 pages, 8 figures

Scientific paper

We want to compute the cumulative distribution function of a one-dimensional Poisson stochastic integral $I(\krnl) = \displaystyle \int_0^T \krnl(s) N(ds)$, where $N$ is a Poisson random measure with control measure $n$ and $\krnl$ is a suitable kernel function. We do so by combining a Kolmogorov-Feller equation with a finite-difference scheme. We provide the rate of convergence of our numerical scheme and illustrate our method on a number of examples. The software used to implement the procedure is available on demand and we demonstrate its use in the paper.

Affiliated with

Also associated with

No associations

Rating

Distribution functions of Poisson random integrals: Analysis and computation does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Distribution functions of Poisson random integrals: Analysis and computation, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Distribution functions of Poisson random integrals: Analysis and computation will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-285570