Affine Point Processes: Approximation and Efficient Simulation

DOI10.1287/MOOR.2014.0696zbMath1331.60084OpenAlexW2134078778MaRDI QIDQ3465933

Kay Giesecke, Xiaowei Zhang, Jose H. Blanchet, Peter W. Glynn

Publication date: 29 January 2016

Published in: Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL: http://repository.ust.hk/ir/bitstream/1783.1-74584/1/APP_final.pdf

zbMATH Keywords

central limit theoremlarge deviationsrare-event simulationaffine jump diffusionaffine point processes

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Large deviations (60F10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items (14)

Pricing insurance premia: a top down approach ⋮ Transform analysis for Hawkes processes with applications in dark pool trading ⋮ An ephemerally self-exciting point process ⋮ Matrix calculations for moments of Markov processes ⋮ Staffing many‐server queues with autoregressive inputs ⋮ Large and moderate deviations for a discrete-time marked Hawkes process ⋮ Large deviations and applications for Markovian Hawkes processes with a large initial intensity ⋮ Asymptotic analysis for affine point processes with large initial intensity ⋮ Precise deviations for Hawkes processes ⋮ Importance sampling for a simple Markovian intensity model using subsolutions ⋮ A variational approach to stability relative to a set of single-valued and set-valued mappings ⋮ Asymptotic Inference for Jump Diffusions with State-Dependent Intensity ⋮ Functional central limit theorems for stationary Hawkes processes and application to infinite-server queues ⋮ Default Clustering in Large Pools: Large Deviations

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