A Poisson process with stochastic intensity is utilized to model changes of a benchmark interest rate set by a Central Bank. We propose explicit formulas for estimators of parameters and the expectation of the intensity, based on observations of the process. Through comparing the intensity and...

Aimed at better modeling insurance claims in an economic environment driven by business cycles, a new Markov-modulated Poisson process model is proposed, and an algorithm is derived to estimate the hidden Markov process by using the observed information. Our method differs from existing ones in...

<Para ID="Par1">It is well known that firings of a well-stirred chemically reacting system can be described by a continuous-time Markov chain. The currently-used exact implementations of Gillespie’s algorithm simulate every reaction event individually and thus the computational cost is inevitably high. In...</para>