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Ocean
  • Member for 10 years, 5 months
  • Last seen more than 6 years ago
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Simulation of a process consist of Brownian motion and Poisson process
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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