Compound multivariate Hawkes processes: large deviations and rare event simulation

DOI10.3150/24-BEJ1840MaRDI QIDQ6896800zbMATH OpenFDO

Authors Raviar Karim, Roger J. A. Laevent, M. R. H. Mandjes

Publication date 21 November 2025

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://projecteuclid.org/journals/bernoulli/volume-31/issue-4/Compound-multivariate-Hawkes-processes-Large-deviations-and-rare-event/10.3150/24-BEJ1840.full

zbMATH Keywords

compound Hawkes processeslarge deviationsmutual excitationrare event simulationruin probability

Mathematics Subject Classification ID

Large deviations (60F10) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Probabilistic models, generic numerical methods in probability and statistics (65C20)

Cites work

• A cluster process representation of a self-exciting process
• A risk model with renewal shot-noise Cox process
• Adaptive estimation for Hawkes processes; application to genome analysis
• Affine point processes: approximation and efficient simulation
• An introduction to manifolds. 2nd revised ed.
• An Introduction to the Theory of Point Processes
• Caract�ristiques locales et conditions de continuit� absolue pour les semi-martingales
• Coding multitype forests: application to the law of the total population of branching forests
• Compound multivariate Hawkes processes: large deviations and rare event simulation
• Earthquake Risk Embedded in Property Prices: Evidence From Five Japanese Cities
• Hitting probabilities and large deviations
• scientific article; zbMATH DE number 5560392 (Why is no real title available?)
• scientific article; zbMATH DE number 3555176 (Why is no real title available?)
• scientific article; zbMATH DE number 1158743 (Why is no real title available?)
• Importance sampling in the Monte Carlo study of sequential tests
• Large deviations and applications for Markovian Hawkes processes with a large initial intensity
• Large deviations and overflow probabilities for the general single-server queue, with applications
• Large deviations for Markovian nonlinear Hawkes processes
• Large Deviations of Poisson Cluster Processes
• Limit theorems for marked Hawkes processes with application to a risk model
• Limit theorems for Markovian Hawkes processes with a large initial intensity
• Moderate deviations for multivariate Hawkes processes
• Mutual excitation in Eurozone sovereign CDS
• Precise deviations for Hawkes processes
• Process-level large deviations for nonlinear Hawkes point processes
• Risk processes with non-stationary Hawkes claims arrivals
• Rough limit results for level-crossing probabilities
• Ruin probabilities for risk processes with non-stationary arrivals and subexponential claims
• Ruin probabilities in a Markovian shot-noise environment
• Some limit theorems for Hawkes processes and application to financial statistics
• Spectra of some self-exciting and mutually exciting point processes
• Stochastic simulation: Algorithms and analysis
• The Cramér-Lundberg model with a fluctuating number of clients

Cited in

(1)

• Compound multivariate Hawkes processes: large deviations and rare event simulation

This page was built for publication: Compound multivariate Hawkes processes: large deviations and rare event simulation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6896800)