Approximate simulation of Hawkes processes

DOI10.1007/S11009-006-7288-ZMaRDI QIDQ2433253zbMATH OpenOpenAlexFDO

Authors Jesper Møller, Jakob Gulddahl Rasmussen

Publication date 27 October 2006

Published in Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL https://vbn.aau.dk/da/publications/15b03080-278a-11db-8514-000ea68e967b

zbMATH Keywords

edge effectsMarked point processPoisson cluster processsimulation

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

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Cites work

• A class of interacting marked point processes: rate of convergence to equilibrium
• A cluster process representation of a self-exciting process
• An Introduction to the Theory of Point Processes
• Hawkes branching point processes without ancestors
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• On Lewis' simulation method for point processes
• Perfect simulation of Hawkes processes
• Power spectra of general shot noises and Hawkes point processes with a random excitation
• Rate of convergence to equilibrium of marked Hawkes processes
• Simulation of cluster point processes without edge effects
• Space-time point-process models for earthquake occurrences
• Spectra of some self-exciting and mutually exciting point processes

Cited in

(15)

• Numerical aspects of shot noise representation of infinitely divisible laws and related processes
• Point processes on directed linear networks
• The pair correlation function of spatial Hawkes processes
• Construction and simulation of generalized multivariate Hawkes processes
• Structural credit risk modelling with Hawkes jump diffusion processes
• Rate of convergence to equilibrium of marked Hawkes processes
• Simulation of cluster point processes without edge effects
• Bayesian inference for Hawkes processes
• scientific article; zbMATH DE number 1132871 (Why is no real title available?)
• Performance of information criteria for selection of Hawkes process models of financial data
• Apparent criticality and calibration issues in the Hawkes self-excited point process model: application to high-frequency financial data
• The Hawkes process with different exciting functions and its asymptotic behavior
• Perfect simulation of Hawkes processes
• Kalikow decomposition for counting processes with stochastic intensity and application to simulation algorithms
• Exact simulation of Hawkes process with exponentially decaying intensity

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