Perfect Sampling of Hawkes Processes and Queues with Hawkes Arrivals
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Publication:5084490
DOI10.1287/STSY.2021.0070zbMATH Open1489.60144arXiv2002.06369OpenAlexW3200114901MaRDI QIDQ5084490FDOQ5084490
Authors: Xinyun Chen 
Publication date: 24 June 2022
Published in: Stochastic Systems (Search for Journal in Brave)
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.
Full work available at URL: https://arxiv.org/abs/2002.06369
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Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Queues and service in operations research (90B22) Queueing theory (aspects of probability theory) (60K25)
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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
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