Exact simulation of Hawkes process with exponentially decaying intensity

DOI10.1214/ECP.v18-2717zbMath1320.60115WikidataQ105584364 ScholiaQ105584364MaRDI QIDQ743034

Angelos Dassios, Hongbiao Zhao

Publication date: 22 September 2014

Published in: Electronic Communications in Probability (Search for Journal in Brave)

zbMATH Keywords

Monte Carlo simulationexact simulationHawkes processescontagion riskself-exciting point processstochastic intensity model

Mathematics Subject Classification ID

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