What is the Stochastic Differential Equation representation of a Poisson Process?
Can it be expressed as a function of $dW$ where $W$ is a Wiener process?
2026-03-31 09:43:23.1774950203
What is the Stochastic Differential Equation representation of a Poisson Process
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No, as the sample paths are constant between arrivals. Of course, one could say it is a Poisson jump process model with degenerate brownian diffusion (variance = 0)...but that's just being contrived.