Coupling Poisson processes by self-decomposability

DOI10.1007/S00009-017-0847-4MaRDI QIDQ2363006zbMATH OpenOpenAlexFDO

Authors Nicola Cufaro Petroni, Piergiacomo Sabino

Publication date 12 July 2017

Published in Mediterranean Journal of Mathematics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1509.00629

zbMATH Keywords

financepoint processesqueueing theoryrenewal theoryself-decomposabilitycorrelated Poisson processes

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Numerical methods (including Monte Carlo methods) (91G60) Queueing theory (aspects of probability theory) (60K25) Sums of independent random variables; random walks (60G50) Renewal theory (60K05)

Abstract: We analyze a method to produce pairs of non independent Poisson processes $M(t),N(t)$ 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 $p_{m,n}(s,t)$ of the pair $$, 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

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Cited in

(7)

• Pricing exchange options with correlated jump diffusion processes
• The variance gamma++ process and applications to energy markets
• Co-Poisson intertwining
• Gamma-related Ornstein–Uhlenbeck processes and their simulation*
• Correlating Lévy processes with self-decomposability: applications to energy markets
• Fast pricing of energy derivatives with mean-reverting jump-diffusion processes
• Coupling Poisson processes by self-decomposability

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