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- W2327330955 abstract "Let ψ be a functional of the sample path of a stochastic system driven by a Poisson process with rate λ . It is shown in a very general setting that the expectation of ψ, E λ [ ψ ], is an analytic function of λ under certain moment conditions. Instead of following the straightforward approach of proving that derivatives of arbitrary order exist and that the Taylor series converges to the correct value, a novel approach consisting in a change of measure argument in conjunction with absolute monotonicity is used. Functionals of non-homogeneous Poisson processes and Wiener processes are also considered and applications to light traffic derivatives are briefly discussed." @default.
- W2327330955 created "2016-06-24" @default.
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- W2327330955 date "1992-09-01" @default.
- W2327330955 modified "2023-10-18" @default.
- W2327330955 title "Analyticity of Poisson-driven stochastic systems" @default.
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- W2327330955 doi "https://doi.org/10.2307/1427478" @default.
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