English

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 M(t),N(t)M(t),N(t) 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 pm,n(s,t)p_{m,n}(s,t) of the pair (M(s),N(t))\big(M(s),N(t)\big), 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

R2 v1 2026-06-22T10:47:18.156Z