Self-exciting multifractional processes

DOI10.1017/JPR.2020.88MaRDI QIDQ4964779zbMATH OpenOpenAlexFDO

Authors Fabian A. Harang, Marc Lagunas-Merino, Salvador Ortiz-Latorre

Publication date 3 March 2021

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1908.05523

zbMATH Keywords

Hurst exponentVolterra equationEuler-Maruyama schemeself-exciting processmultifractional stochastic process

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Stochastic integral equations (60H20)

Abstract: We propose a new multifractional stochastic process which allows for self-exciting behavior, similar to what can be seen for example in earthquakes and other self-organizing phenomena. The process can be seen as an extension of a multifractional Brownian motion, where the Hurst function is dependent on the past of the process. We define this through a stochastic Volterra equation, and we prove existence and uniqueness of this equation, as well as give bounds on the p-order moments, for all p>=1. We show convergence of an Euler-Maruyama scheme for the process, and also give the rate of convergence, which is depending on the self-exciting dynamics of the process. Moreover, we discuss different applications of this process, and give examples of different functions to model self-exciting behavior.

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Cited in

(2)

• Moment generating function of non-Markov self-excited claims processes
• Self-regulating processes

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