Construction and simulation of generalized multivariate Hawkes processes

DOI10.1007/s11009-022-09934-5zbMath1506.60050OpenAlexW4281556271MaRDI QIDQ2684947

Jacek Jakubowski, Tomasz R. Bielecki, Mariusz Andrzej Niewȩgłowski

Publication date: 17 February 2023

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

Full work available at URL: https://doi.org/10.1007/s11009-022-09934-5

zbMATH Keywords

simulationconditional Poisson random measuresdoubly stochastic marked Poisson processgeneralized multivariate Hawkes process

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Stochastic analysis (60H99)

Related Items

Multivariate Hawkes processes with simultaneous occurrence of excitation events coming from different sources

Cites Work

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