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Quantitative Analysis
Parallel Processing
Numerical Analysis
C++ Multithreading
Python for Excel
Python Utilities
Services
Author
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I. Basic math.
II. Pricing and Hedging.
III. Explicit techniques.
IV. Data Analysis.
V. Implementation tools.
VI. Basic Math II.
1. Real Variable.
2. Laws of large numbers.
3. Characteristic function.
4. Central limit theorem (CLT) II.
5. Random walk.
6. Conditional probability II.
7. Martingales and stopping times.
8. Markov process.
9. Levy process.
A. Infinitely divisible distributions and Levy-Khintchine formula.
B. Generator of Levy process.
C. Poisson point process.
D. Construction of generic Levy process.
E. Subordinators.
10. Weak derivative. Fundamental solution. Calculus of distributions.
11. Functional Analysis.
12. Fourier analysis.
13. Sobolev spaces.
14. Elliptic PDE.
15. Parabolic PDE.
VII. Implementation tools II.
VIII. Bibliography
Notation. Index. Contents.

Poisson point process.


efinition

(Poisson point process) Let MATH be a filtered probability space, MATH be a measurable space and MATH , MATH . A $U_{\delta}$ -valued process MATH is called "Poisson point process" if it has the following properties.

1. The map MATH is MATH - measurable.

2. The set MATH is countable a.s.

3. There is a sequence of sets MATH s.t. MATH and MATH where MATH

4. The process $e_{t}$ is $\QTR{cal}{F}_{t}$ -adapted.

5. For any $h>0$ , $t>0$ and any $A\in\QTR{cal}{U}$ the distribution of MATH conditioned on $\QTR{cal}{F}_{t}$ is the same as the distribution of $N_{h}^{A}$ .

Proposition

(Independence of Poisson processes) Two Poisson processes adapted to the same filtration are independent iff they almost never jump simultaneously.

Proposition

(Properties of Poisson point process) Let MATH be a Poisson point process.

1. $N_{t}^{A}$ is a Poisson process for any $A\in\QTR{cal}{U}$ .

2. For MATH s.t. MATH the processes $N_{t}^{A_{1}}$ and $N_{t}^{A_{2}}$ are independent.

3. The quantity MATH is independent of $t$ and constitutes a $\sigma$ -finite measure on $\QTR{cal}{U}$ .

Definition

(Characteristic measure of Poisson point process) The measure MATH defined in the proposition ( Properties of Poisson point process ) is called "characteristic measure of Poisson point process".

An example of calculation with Poisson point process may be found within the proof of the proposition ( Construction of generic Levy process ).





Notation. Index. Contents.


















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