Perfect simulation of Hawkes processes

By Jesper Møller, Jakob Gulddahl Rasmussen. Advances in Applied Probability, 2005

136 citations recorded by the source corpus.

Subfields: Applied Mathematics, Molecular Biology

View Paper: https://www.semanticscholar.org/paper/7fb38a7886af23c33ab2b6f663b088b8c5f7f223

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Citations in the corpus

Approximate Simulation of Hawkes Processes (2006, methodology): “The remaining part is verified along similar lines as in the proof of Theorem 1 in [12] (with the minor observations that F is the unique fixpoint because of (8), and that we use monotone convergence when establishing (9)).”
Hawkes Processes in Finance (2015, methodology): “One can see for instance [54] which describes how one can perform simulation of marked Hawkes processes using the branching structure.”
Reliability for systems with self-healing effect under shock models (2018, unknown): “Hawkes process: the reader can refer to Møller and Rasmussen (2005), Dassios and Zhao (2013).”
Lecture Notes: Temporal Point Processes and the Conditional Intensity Function (2018, methodology): “So the Hawkes process can be simulated either by the inverse method or Ogata’s modified thinning algorithm (but in fact there are simpler methods for simulating the Hawkes process, see e.g. Møller and Rasmussen (2005, 2006)).”
Scaling limits for Hawkes processes and application to financial statistics (2012, unknown): “…7641 and École Polytechnique, 91128 Palaiseau, France †Université Paris Diderot and LPMA CNRS-UMR 7599, Bôıte courrier 7012 75251 Paris, France ‡ENSAE-CREST and LAMA CNRS-UMR 8050, 3, avenue Pierre Larousse, 92245 Malakoff, France §SPE CNRS-UMR 6134 and Université de Corte, 20250 Corte, France”
MCMC Using Hamiltonian Dynamics (2011, unknown): “[23], [34], [26], [31], [52], [21], [35], [14], [1]).”