Perfect Sampling of Hawkes Processes and Queues with Hawkes Arrivals
From MaRDI portal
Publication:5084490
Abstract: In this paper we develop the first perfect sampling algorithm for queues with Hawkes input, i.e. single-server queues with Hawkes arrivals and i.i.d. service times of general distribution. In addition to the stability condition, we also assume the excitation function of the Hawkes process has a light tail and the service time has finite moment generating function in the neighborhood of the origin. In this procedure, we also propose a new perfect sampling algorithm for Hawkes process with improved computational efficiency compared to the existing algorithm. Theoretical analysis and numerical tests on the algorithms' correctness and efficiency are also included.
Recommendations
- Perfect sampling for queues and network models
- Perfect sampling of a single-server queue with periodic Poisson arrivals
- Perfect sampling of GI/GI/\(c\) queues
- Perfect simulation of Hawkes processes
- Exact Sampling of Stationary and Time-Reversed Queues
- Perfect sampling of Jackson queueing networks
- Perfect and nearly perfect sampling of work-conserving queues
- Perfect Sampling of Networks with Finite and Infinite Capacity Queues
- Queues driven by Hawkes processes
- Exact sampling for some multi-dimensional queueing models with renewal input
Cites work
- A cluster process representation of a self-exciting process
- Applied Probability and Queues
- Dynamic service rate control for a single-server queue with Markov-modulated arrivals
- Exact simulation of Hawkes process with exponentially decaying intensity
- Exact simulation of point processes with stochastic intensities
- Functional central limit theorems for stationary Hawkes processes and application to infinite-server queues
- Infinite-server queues with Hawkes input
- Large Deviations of Poisson Cluster Processes
- Long-time behavior of a Hawkes process-based limit order book
- Networks of \(\cdot /\mathrm{G}/\infty \) queues with shot-noise-driven arrival intensities
- Perfect Sampling of Generalized Jackson Networks
- Perfect sampling of GI/GI/\(c\) queues
- Perfect sampling of a single-server queue with periodic Poisson arrivals
- Perfect simulation of Hawkes processes
- Price dynamics in a Markovian limit order market
- Queues driven by Hawkes processes
- Rate of convergence to equilibrium of marked Hawkes processes
- Simulating the maximum of a random walk
- Stabilizing performance in a single-server queue with time-varying arrival rate
- Stationary Waiting-Time Distributions for Single-Server Queues
- Steady-state simulation of reflected Brownian motion and related stochastic networks
Cited in
(7)- Queues driven by Hawkes processes
- Kalikow decomposition for counting processes with stochastic intensity and application to simulation algorithms
- Infinite-server systems with Hawkes arrivals and Hawkes services
- Approximate simulation of Hawkes processes
- Heavy-traffic limits for parallel single-server queues with randomly split Hawkes arrival processes
- Perfect simulation of Hawkes processes
- On the splitting and aggregating of Hawkes processes
This page was built for publication: Perfect Sampling of Hawkes Processes and Queues with Hawkes Arrivals
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5084490)
