Struct CompoundPoissonProcess 

pub struct CompoundPoissonProcess {
    pub rate: f64,
    pub jump_mean: f64,
    pub jump_std: f64,
}

Compound Poisson process Y_t = Σ_{i=1}^{N_t} Z_i.

N_t is a Poisson process with rate λ, and the jump sizes Z_i are i.i.d. Here we use standard normal jump sizes for illustration.

Fields

rate: f64

Arrival rate λ > 0.

jump_mean: f64

Mean of each jump.

jump_std: f64

Standard deviation of each jump.

Implementations

impl CompoundPoissonProcess

pub fn new(rate: f64, jump_mean: f64, jump_std: f64) -> Self

Create a compound Poisson process with Gaussian jumps.

pub fn simulate(&self, t_end: f64, n_steps: u32, seed: u64) -> Vec<(f64, f64)>

Simulate a path of Y_t up to t_end, sampled at n_steps equally-spaced points.

Returns (time, Y_t) pairs.

pub fn expected_value(&self, t: f64) -> f64

Theoretical mean of Y_t: E[Y_t] = λ t E[Z].

pub fn variance(&self, t: f64) -> f64

Theoretical variance of Y_t: Var[Y_t] = λ t E[Z²] = λ t (σ² + μ²).

Trait Implementations

impl Clone for CompoundPoissonProcess

fn clone(&self) -> CompoundPoissonProcess

Returns a duplicate of the value.

fn clone_from(&mut self, source: &Self)

Performs copy-assignment from source.

impl Debug for CompoundPoissonProcess

fn fmt(&self, f: &mut Formatter<'_>) -> Result

Formats the value using the given formatter.