Affine Point Processes: Approximation and Efficient Simulation

DOI10.1287/moor.2014.0696zbMath1331.60084MaRDI QIDQ3465933

Kay Giesecke, Xiaowei Zhang, Jose H. Blanchet, Peter W. Glynn

Publication date: 29 January 2016

Published in: Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL: http://repository.ust.hk/ir/bitstream/1783.1-74584/1/APP_final.pdf

zbMATH Keywords

central limit theorem; large deviations; rare-event simulation; affine jump diffusion; affine point processes

Mathematics Subject Classification ID

60F05: Central limit and other weak theorems

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

60J60: Diffusion processes

60F10: Large deviations

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)

65C30: Numerical solutions to stochastic differential and integral equations

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

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