On one method for modeling an nonhomogeneous Poisson point process
T.A. Averina1,2
1Institute of Computational Mathematics and Mathematical Geophysics of Siberian Branch of Russian Academy of Sciences, Novosibirsk, Russia
2Novosibirsk State University, Novosibirsk, Russia
Keywords: nonhomogeneous Poisson point process, stochastic differential equations, Monte Carlo methods
Abstract
In the statistical solution to problems of analysis, synthesis and filtration for systems of the diffusion-discontinuous type, it is required to simulate an inhomogeneous Poisson point process. To simulate the latter, an algorithm is sometimes used based on the property of the ordinariness of the process. In this paper, a modification of this algorithm is constructed using an efficient method for modeling random variables. The statistical adequacy of the method developed was checked by solving test problems.
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