TY - JOUR

T1 - One Method for Simulating Inhomogeneous Poisson Point Process

AU - Averina, T. A.

N1 - Funding Information: This work was supported by base project no. 0251-2021-0002. Publisher Copyright: © 2022, Pleiades Publishing, Ltd.

PY - 2022/1

Y1 - 2022/1

N2 - When problems of analysis, synthesis, and filtration for systems of the jump-diffusion type are solved statistically, it is necessary to simulate an inhomogeneous Poisson point process. To this end, sometimes the algorithm relying on the ordinariness of the process is used. In this paper, a modification of this algorithm, using a cost-effective method for simulating random variables, is constructed. The statistical adequacy of the method developed is checked on test problems.

AB - When problems of analysis, synthesis, and filtration for systems of the jump-diffusion type are solved statistically, it is necessary to simulate an inhomogeneous Poisson point process. To this end, sometimes the algorithm relying on the ordinariness of the process is used. In this paper, a modification of this algorithm, using a cost-effective method for simulating random variables, is constructed. The statistical adequacy of the method developed is checked on test problems.

KW - inhomogeneous Poisson point process

KW - Monte Carlo methods

KW - stochastic differential equations

UR - http://www.scopus.com/inward/record.url?scp=85126261297&partnerID=8YFLogxK

UR - https://www.mendeley.com/catalogue/1f84cda9-cf8e-3947-8e5c-72537a039773/

U2 - 10.1134/S1995423922010013

DO - 10.1134/S1995423922010013

M3 - Article

AN - SCOPUS:85126261297

VL - 15

JO - Numerical Analysis and Applications

JF - Numerical Analysis and Applications

SN - 1995-4239

IS - 1

M1 - 1

ER -