Timeline for Simulation of a process consist of Brownian motion and Poisson process
Current License: CC BY-SA 3.0
3 events
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Dec 8, 2014 at 19:20 | comment | added | Ocean |
sorry, this is my clarification for how I expected the difference P1-P2 behave: since the jump of Poisson process is 1, the difference of 2 Poisson processes should evolve around 0 with the jump of either 1 or -1. Therefore, h(t) will have the jump of 0.5 or -0.5 when the difference is not 0
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Dec 8, 2014 at 4:58 | comment | added | Cam.Davidson.Pilon |
Why do you think P1 - P2 will behave like that? Your sample looks deterministic, but P1 - P2 will be random.
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Dec 8, 2014 at 4:28 | history | asked | Ocean | CC BY-SA 3.0 |