eldorado.tu-dortmund.de/server/api/core/bitstreams/17ed61bf-edc9-4c51-a2df-417d35dccbf8/content
Theorem 2 we need the following additional assumption. A discussion about it can be found in Remark 6. Assumption 2. For each e ∈ R, the function h(x) is differentiable with derivative h′(x) such that the [...] r 7→ |H(r, v)| is nonincreasing. Then, it holds that
Lt L= ∞∑ i=1
H
( Gi T , Vi
) 1[0,t](Ti)− tci, (6)
for t ∈ [0, T ], where {Gi}i∈N are the arrival times of a standard Poisson process, {Vi}i∈N are i.i [...] (2021) for details.
To obtain a feasible numerical algorithm one has to truncate the infinite series in (6). Instead of truncating the series deterministically, i.e., after n summands, we choose a random truncation …
