A point process approach to filtered processes

DOI10.1023/B:MCAP.0000045089.40163.C7MaRDI QIDQ1762883zbMATH OpenFDO

Authors Julien Michel

Publication date 11 February 2005

Published in Methodology and Computing in Applied Probability (Search for Journal in Brave)

zbMATH Keywords

simulationoverflowfiltered point processesrainfall processes

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Geometric probability and stochastic geometry (60D05) Other physical applications of random processes (60K40)

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(13)

• On filtered binary processes
• Filtered fractional Poisson processes
• Filtered statistical models and Hellinger processes
• EXPLICIT COMPUTATIONS FOR A FILTERING PROBLEM WITH POINT PROCESS OBSERVATIONS WITH APPLICATIONS TO CREDIT RISK
• On a process derived from a filtered Poisson process
• Filtering the histories of a partially observed marked point process
• Filtrage d'une diffusion reflechie a sauts, observee a travers un processus ponctuel marque
• Suboptimal nonlinear filtering of the rate of an observed point process
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• Filtering of derived point processes
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• The general cumulants for a filtered point process
• A theoretical note on the distribution of a filtered compound doubly stochastic Poisson process

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