Closed-form formulas for the distribution of the jumps of doubly-stochastic Poisson processes

DOI10.1214/19-ECP221zbMATH Open1412.60060arXiv1701.00717MaRDI QIDQ2631807FDOQ2631807

Authors: Arturo Valdivia 

Publication date: 16 May 2019

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Abstract: We study the obtainment of closed-form formulas for the distribution of the jumps of a doubly-stochastic Poisson process. The problem is approached in two ways. On the one hand, we translate the problem to the computation of multiple derivatives of the Hazard process cumulant generating function; this leads to a closed-form formula written in terms of Bell polynomials. On the other hand, for Hazard processes driven by L'evy processes, we use Malliavin calculus in order to express the aforementioned distributions in an appealing recursive manner. We outline the potential application of these results in credit risk.

Full work available at URL: https://arxiv.org/abs/1701.00717

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zbMATH Keywords

Malliavin calculuscredit riskBell polynomialshazard processdoubly-stochastic Poisson processintegrated non-Gaussian OU process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic calculus of variations and the Malliavin calculus (60H07) Fractional processes, including fractional Brownian motion (60G22) Credit risk (91G40)

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