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- W4295224276 abstract "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" @default.
- W4295224276 created "2022-09-12" @default.
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- W4295224276 date "2015-09-02" @default.
- W4295224276 modified "2023-09-25" @default.
- W4295224276 title "Correlated Poisson processes and self-decomposable laws" @default.
- W4295224276 doi "https://doi.org/10.48550/arxiv.1509.00629" @default.
- W4295224276 hasPublicationYear "2015" @default.
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