Re: Compound Poisson Process
- From: "ABC" <xxx@xxxxxxx>
- Date: Wed, 8 Feb 2006 14:34:47 +1100
Thanks for your reply. I actually did some readings on Levy process and came
up with the same conclusion as your first statement.
Your second statement (i.e. "It can be possible to simulate the path, given
the end point") puzzles me a little. It seem to contradict with your first
statement. Would you mind elaborating it a bit more?
"Herman Rubin" <hrubin@xxxxxxxxxxxxxxxxxxxx> wrote in message
news:ds7qmf$s5i@xxxxxxxxxxxxxxxxxxxxxxx
In article <43e608bb$0$96634$c30e37c6@xxxxxxxxxxxxxxxxxxxxxxxxxxx>,
ABC <xxx@xxxxxxx> wrote:
Is it possible, for any compound poisson process, to generate the sample
path given certain end point?
Certainly not, even given the location of the jumps,
unless the "compounding" distribution is trivial.
It can be possible to simulate the path, given the end point.
--
This address is for information only. I do not claim that these views
are those of the Statistics Department or of Purdue University.
Herman Rubin, Department of Statistics, Purdue University
hrubin@xxxxxxxxxxxxxxx Phone: (765)494-6054 FAX: (765)494-0558
.
- References:
- Compound Poisson Process
- From: ABC
- Re: Compound Poisson Process
- From: Herman Rubin
- Compound Poisson Process
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