Exact simulation of extrinsic stress-release processes

DOI10.1017/JPR.2021.35MaRDI QIDQ5067213zbMATH OpenOpenAlexFDO

Authors

Publication date 1 April 2022

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2106.14415

zbMATH Keywords

inhibitory point processstress-release process

Mathematics Subject Classification ID

Generalized stochastic processes (60G20) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Monte Carlo methods (65C05)

Abstract: We present a new and straightforward algorithm that simulates exact sample paths for a generalized stress-release process. The computation of the exact law of the joint interarrival times is detailed and used to derive this algorithm. Furthermore, the martingale generator of the process is derived and induces theoretical moments which generalize some results of Borovkov & Vere-Jones (2000) and are used to demonstrate the validity of our simulation algorithm.

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• scientific article; zbMATH DE number 125766 (Why is no real title available?)
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Cited in

(2)

• scientific article; zbMATH DE number 4107861 (Why is no real title available?)
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