Browsing by Keywords "Compound Poisson process"
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Compound poisson disorder problems with nonlinear detection delay penalty cost functions
(2010)The quickest detection of the unknown and unobservable disorder time, when the arrival rate and mark distribution of a compound Poisson process suddenly changes, is formulated in a Bayesian setting, where the detection ... -
Statistical arbitrage in jump-diffusion models with compound poisson processes
(Springer Nature, 2021-02-26)We prove the existence of statistical arbitrage opportunities for jump-diffusion models of stock prices when the jump-size distribution is assumed to have finite moments. We show that to obtain statistical arbitrage, the ...
