Simulating point processes by intensity projection

@article{Giesecke2008SimulatingPP,
  title={Simulating point processes by intensity projection},
  author={Kay Giesecke and Hossein Kakavand and Mohammad Mousavi},
  journal={2008 Winter Simulation Conference},
  year={2008},
  pages={560-568}
}
Point processes with stochastic intensities are ubiquitous in many application areas, including finance, insurance, reliability and queuing. They can be simulated from standard Poisson arrivals by time-scaling with the cumulative intensity, whose path is typically generated with a discretization method. However, discretization introduces bias into the simulation results. This paper proposes a method for the exact simulation of point processes with stochastic intensities. The method leads to… CONTINUE READING

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