Exact Simulation of Point Processes with Stochastic Intensities

@article{Giesecke2011ExactSO,
  title={Exact Simulation of Point Processes with Stochastic Intensities},
  author={Kay Giesecke and Hossein Kakavand and Mohammad Mousavi},
  journal={Operations Research},
  year={2011},
  volume={59},
  pages={1233-1245}
}
Point processes with stochastic intensities are ubiquitous in many application areas, including finance, insurance, reliability and queuing. They can be simulated from a standard Poisson process by time-scaling with the cumulative intensity, or compensator. The paths of the compensator 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 method for the… CONTINUE READING
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