BSDE driven by Poisson point processes with discontinuous coefficient
نویسندگان
چکیده
منابع مشابه
Transforming spatial point processes into Poisson processes
In 1986, Merzbach and Nualart demonstrated a method of transforming a two-parameter point process into a planar Poisson process of unit rate, using random stopping sets. Merzbach and Nualart's theorem applies only to a special class of point processes, since it requires two restrictive conditions: the (F4) condition of conditional independence and the convexity of the 1-compensator. The (F4) co...
متن کاملThinning spatial point processes into Poisson processes
This paper describes methods for randomly thinning certain classes of spatial point processes. In the case of a Markov point process, the proposed method involves a dependent thinning of a spatial birth-and-death process, where clans of ancestors associated with the original points are identified, and where one simulates backwards and forwards in order to obtain the thinned process. In the case...
متن کاملGeneralized Bsde Driven by a Lévy Process
A linear version of backward stochastic differential equations (BSDEs) was first studied by Bismut [4] as the adjoint processes in the maximum principal of stochastic control. Pardoux and Peng in [20] introduced the notion of nonlinear BSDE. Since then, the interest in BSDEs has increased. Indeed, BSDEs provide connection with mathematical finance [10], stochastic control [11], and stochastic g...
متن کاملPoisson Cox Point Processes for Vehicular Networks
This paper analyzes statistical properties of the Poisson line Cox point process useful in the modeling of vehicular networks. The point process is created by a two-stage construction: a Poisson line process to model road infrastructure and independent Poisson point processes, conditionally on the Poisson lines, to model vehicles on the roads. We derive basic properties of the point process, in...
متن کاملPoisson limits for empirical point processes
Define the scaled empirical point process on an independent and identically distributed sequence {Yi : i ≤ n} as the random point measure with masses at a n Yi. For suitable an we obtain the weak limit of these point processes through a novel use of a dimension-free method based on the convergence of compensators of multiparameter martingales. The method extends previous results in several dire...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Mathematical Analysis and Applications
سال: 2013
ISSN: 0022-247X
DOI: 10.1016/j.jmaa.2013.02.071