Correlated Poisson processes and self-decomposable laws
Probability
2017-01-16 v2 Mathematical Physics
math.MP
Computational Finance
Abstract
We analyze a method to produce pairs of non independent Poisson processes from positively correlated, self-decomposable, exponential renewals. In particular the present paper provides the family of copulas pairing the renewals, along with the closed form for the joint distribution of the pair , an outcome which turns out to be instrumental to produce explicit algorithms for applications in finance and queuing theory. We finally discuss the cross-correlation properties of the two processes and the relative timing of their jumps
Keywords
Cite
@article{arxiv.1509.00629,
title = {Correlated Poisson processes and self-decomposable laws},
author = {Nicola Cufaro Petroni and Piergiacomo Sabino},
journal= {arXiv preprint arXiv:1509.00629},
year = {2017}
}
Comments
45 pages; lengthy calculations in the appendices; 7 figures; in press on Med. J. Math