Itoh, Yuki - Graduate School of Economics, Hitotsubashi University - 2008
process by a homogeneous compound Poisson process and extend our model to an inhomogeneous compound Poisson process. Interest … methods of calculating the transition density of an inhomogeneous compound Poisson process is necessary for calculating the … expectation and the variance of those in the inhomogeneous compound Poisson model, however little attention has been given to such …