A fractional Hawkes process. II: Further characterization of the process

DOI10.1016/J.PHYSA.2023.128596MaRDI QIDQ2690922zbMATH OpenOpenAlexFDO

Authors Cassien Habyarimana, Jane A. Aduda, Enrico Scalas, Jing Chen, Alan G. Hawkes, Federico Polito

Publication date 17 March 2023

Published in Physica A (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/2211.02583

zbMATH Keywords

fractional calculusHawkes processesMittag-Leffler distributionpoint processes

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

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Cites work

• A cluster process representation of a self-exciting process
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• Laplace transform inversions using optimal contours in the complex plane
• Mittag-Leffler functions, related topics and applications
• On Lewis' simulation method for point processes
• On the Bartlett spectrum of randomized Hawkes processes
• Special Functions for Applied Scientists
• Spectra of some self-exciting and mutually exciting point processes

Cited in

(8)

• Fractional-Hawkes
• scientific article; zbMATH DE number 97775 (Why is no real title available?)
• A fractional Hawkes process II: Further characterization of the process
• Functional limit theorems for Hawkes processes
• The rough Hawkes process
• A fractional Hawkes process model for earthquake aftershock sequences
• Hawkes process with tempered Mittag-Leffler kernel
• Parameter estimation for the fractional Hawkes process

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Uses Software

• R
• invLT

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