Correlated Poisson processes and self-decomposable laws
classification
🧮 math.PR
math-phmath.MPq-fin.CP
keywords
processescorrelatedpoissonproducerenewalsself-decomposablealgorithmsalong
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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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