Simulating point processes by intensity projection

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 unbiased estimators. It is illustrated for a point process whose intensity follows an affine jump-diffusion process.

• Type: Conference
• Year: 2008
• Where: WSC
• Authors: Kay Giesecke, Hossein Kakavand, Mohammad Mousavi
• Keywords: Discretization Introduces Bias, Modeling And Simulation, Point Processes, Stochastic Intensities, WSC 2008