R functions for simulation of Compound Poisson processes with normal jumps
 
1 Introduction

Type: R functions for simulation of Compound Poisson processes with normal jumps
Date: 2010-6-22
Author: Shibin Zhang
Maintainer: Shibin Zhang <sbzhang@shmtu.edu.cn>
Description: This document provides R functions for simulation of Compound Poisson processes with normal

jumps.
Usage: To use the software, you will need to download the file CPNJ.R into a
suitable directory on your computer. This contains the functions listed below
and various supporting functions. You should not need to look at the R code
in this file unless you want to see the details of what's going on.

2 The functions

CPNJ(x0=0,t0=0,t1=T,lambda=1,mu=0,sigma=1)

The function CPNJ gives a trajection of the Compound Poisson process with normal jumps. The Poisson

process have an intensity lambda, and the jumps follows i.i.d. normal distributions with mean mu and

variance sigma^2. The trajection is from time t0 to t1, and starts at x0.

 

 

CPNJ.R

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