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Poisson Process: dynamics, probability, and alternative characterisations
Автор: quantpie
Загружено: 2020-06-06
Просмотров: 13053
Описание:
Introduces the Poisson process, and discusses its various characterisations. Contents by timeline below:
00:31 - Usual definition of Poisson process
01:30 - Poisson paths visualisation (RCLL, cadlag)
06:25 - Derivation of Kolmogorov /Master Equation
15:23 - Solution of Kolmogorov to get Poisson density
21:48 - Poisson in infinitesimal terms (inc infinitesimal generator)
22:37 - Poisson as exponentially distributed waiting times
25:50 - Summary of definitions
26:17 - Poisson as limit of Bernoulli trials
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