Exact simulation of Hawkes process with exponentially decaying intensity (Q743034)
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scientific article; zbMATH DE number 6346911
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|---|---|---|---|
| default for all languages | No label defined |
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| English | Exact simulation of Hawkes process with exponentially decaying intensity |
scientific article; zbMATH DE number 6346911 |
Statements
Exact simulation of Hawkes process with exponentially decaying intensity (English)
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22 September 2014
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Hawkes processes
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stochastic intensity model
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self-exciting point process
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exact simulation
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Monte Carlo simulation
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contagion risk
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0.90557414
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0.9044795
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0.8630215
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0.8596288
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0.85364705
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0.8488052
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0.8460435
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0.8434705
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0.8423975
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