论文标题
多元混合泊松过程的向后模拟
Backward Simulation of Multivariate Mixed Poisson Processes
论文作者
论文摘要
与其组成部分之间具有负相关性的相关多元泊松过程的模拟在金融，保险，地球物理学以及许多其他应用概率方面都有许多重要的应用。在我们较早的工作中引入的后退模拟（BS）方法来模拟相关的多元泊松过程，能够捕获广泛的相关性，包括极端正面和极端的负相关，这是其他方法（例如远期仿真方法）是不可能的。此外，BS方法可以简单有效地生成相关多元泊松过程的样本路径。在这项工作中，我们将BS方法扩展到多元混合泊松过程。
The simulation of correlated multivariate Poisson processes with negative correlation between their components has many important applications in Finance, Insurance, Geophysics, and many other areas of applied probability. Introduced in our earlier work, the Backward Simulation (BS) approach to the simulation of correlated multivariate Poisson processes is able to capture a wide range of correlation, including extreme positive and extreme negative correlation, that is not possible with other approaches such as the forward simulation approach. Moreover, the BS approach enables simple and efficient generation of sample paths of correlated multivariate Poisson processes. In this work, we extend the BS approach to multivariate mixed Poisson processes.
