Distribution functions of Poisson random integrals: Analysis and computation

Abstract

We want to compute the cumulative distribution function of a one-dimensional Poisson stochastic integral $I(\krnl) = \displaystyle \int_0^T \krnl(s) N(ds)$, where $N$ is a Poisson random measure with control measure $n$ and $\krnl$ is a suitable kernel function. We do so by combining a Kolmogorov-Feller equation with a finite-difference scheme. We provide the rate of convergence of our numerical scheme and illustrate our method on a number of examples. The software used to implement the procedure is available on demand and we demonstrate its use in the paper.

28 pages, 8 figures