英文标题：
《Correlated Poisson processes and self-decomposable laws》
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作者：
Nicola Cufaro Petroni and Piergiacomo Sabino
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最新提交年份：
2017
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英文摘要：
  We analyze a method to produce pairs of non independent Poisson processes $M(t),N(t)$ from positively correlated, self-decomposable, exponential renewals. In particular the present paper provides the family of copulas pairing the renewals, along with the closed form for the joint distribution $p_{m,n}(s,t)$ of the pair $\\big(M(s),N(t)\\big)$, an outcome which turns out to be instrumental to produce explicit algorithms for applications in finance and queuing theory. We finally discuss the cross-correlation properties of the two processes and the relative timing of their jumps
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中文摘要：
我们分析了一种从正相关、自分解、指数更新生成非独立泊松过程对$M（t），N（t）$的方法。特别地，本文提供了一系列连接函数对更新，以及对$\\big（m（s），n（t）\\ big）$的联合分布$p_{m，n}（s，t）$的封闭形式，这一结果有助于产生金融和排队论中应用的显式算法。最后，我们讨论了这两个过程的互相关特性及其跳跃的相对时间
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分类信息：

一级分类：Mathematics        数学
二级分类：Probability        概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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一级分类：Physics        物理学
二级分类：Mathematical Physics        数学物理
分类描述：Articles in this category focus on areas of research that illustrate the application of mathematics to problems in physics, develop mathematical methods for such applications, or provide mathematically rigorous formulations of existing physical theories. Submissions to math-ph should be of interest to both physically oriented mathematicians and mathematically oriented physicists; submissions which are primarily of interest to theoretical physicists or to mathematicians should probably be directed to the respective physics/math categories
这一类别的文章集中在说明数学在物理问题中的应用的研究领域，为这类应用开发数学方法，或提供现有物理理论的数学严格公式。提交的数学-PH应该对物理方向的数学家和数学方向的物理学家都感兴趣；主要对理论物理学家或数学家感兴趣的投稿可能应该指向各自的物理/数学类别
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一级分类：Mathematics        数学
二级分类：Mathematical Physics        数学物理
分类描述：math.MP is an alias for math-ph. Articles in this category focus on areas of research that illustrate the application of mathematics to problems in physics, develop mathematical methods for such applications, or provide mathematically rigorous formulations of existing physical theories. Submissions to math-ph should be of interest to both physically oriented mathematicians and mathematically oriented physicists; submissions which are primarily of interest to theoretical physicists or to mathematicians should probably be directed to the respective physics/math categories
math.mp是math-ph的别名。这一类别的文章集中在说明数学在物理问题中的应用的研究领域，为这类应用开发数学方法，或提供现有物理理论的数学严格公式。提交的数学-PH应该对物理方向的数学家和数学方向的物理学家都感兴趣；主要对理论物理学家或数学家感兴趣的投稿可能应该指向各自的物理/数学类别
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一级分类：Quantitative Finance        数量金融学
二级分类：Computational Finance        计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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