One Method for Simulating Inhomogeneous Poisson Point Process

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Abstract

When problems of analysis, synthesis, and filtration for systems of the jump-diffusion type are solved statistically, it is necessary to simulate an inhomogeneous Poisson point process. To this end, sometimes the algorithm relying on the ordinariness of the process is used. In this paper, a modification of this algorithm, using a cost-effective method for simulating random variables, is constructed. The statistical adequacy of the method developed is checked on test problems.

Translated title of the contributionОб одном методе моделирования неоднородного пуассоновского точечного процесса
Original languageEnglish
Article number1
JournalNumerical Analysis and Applications
Volume15
Issue number1
DOIs
Publication statusPublished - Jan 2022

Keywords

  • inhomogeneous Poisson point process
  • Monte Carlo methods
  • stochastic differential equations

OECD FOS+WOS

  • 1.01 MATHEMATICS

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