Exact simulation of point processes with stochastic intensities
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Publication:2879519
DOI10.1287/OPRE.1110.0962zbMATH Open1234.62126OpenAlexW2084518701MaRDI QIDQ2879519FDOQ2879519
Authors: Kay Giesecke, H. Kakavand, M. Mousavi 
Publication date: 26 March 2012
Published in: Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1287/opre.1110.0962
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Inference from stochastic processes (62M99) Numerical analysis or methods applied to Markov chains (65C40) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)
Cited In (16)
- Perfect Sampling of Hawkes Processes and Queues with Hawkes Arrivals
- Generic improvements to least squares Monte Carlo methods with applications to optimal stopping problems
- Simulations of Some Doubly Stochastic Poisson Point Processes
- Exact simulation of IG-OU processes
- Exact simulation of Hawkes process with exponentially decaying intensity
- Efficient simulation of Lévy-driven point processes
- Optimal liquidation problem in illiquid markets
- Simulation study of dissimilarity between point processes
- Estimating jump-diffusions using closed-form likelihood expansions
- Exact simulation of two-parameter Poisson-Dirichlet random variables
- Reducing bias in event time simulations via measure changes
- An optimal callback policy for general arrival processes: a pathwise analysis
- Optimal market making under partial information with general intensities
- An intensity model for credit risk with switching Lévy processes
- Personalized dynamic treatment regimes in continuous time: a Bayesian approach for optimizing clinical decisions with timing
- Exact simulation of the Ornstein-Uhlenbeck driven stochastic volatility model
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