Skip to main content
1 vote
Accepted

Pure jump process in Duffie, Pan and Singleton's paper

Essentially yes - $Z_t$ is a compound Poisson process, except that the underlying counting process $N_t$ has intensity $\lambda(X_t)$. I.e $$ N_t - N_s \sim Pois\bigg( \int_s^t \lambda(X_u) \mathrm{d}...
Achrbot's user avatar
  • 373

Only top scored, non community-wiki answers of a minimum length are eligible