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- Publisher Website: 10.1109/WSC.2009.5429693
- Scopus: eid_2-s2.0-77951611993
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Conference Paper: Rare event simulation for a generalized hawkes process
Title | Rare event simulation for a generalized hawkes process |
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Authors | |
Issue Date | 2009 |
Publisher | IEEE. |
Citation | 2009 Winter Simulation Conference (WSC 2009), Austin, TX, 13-16 December 2009. In Proceedings - Winter Simulation Conference, 2009, p. 1291-1298 How to Cite? |
Abstract | In this paper we study rare event simulation for the tail probability of an affine point process (Jt)t≥0 that generalizes the Hawkes process. By constructing a suitable exponential martingale, we are able to construct an importance sampling algorithm that is logarithmically efficient in the Gartner-Ellis asymptotic regime. ©2009 IEEE. |
Persistent Identifier | http://hdl.handle.net/10722/271463 |
ISSN | 2023 SCImago Journal Rankings: 0.272 |
DC Field | Value | Language |
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dc.contributor.author | Zhang, Xiao Wei | - |
dc.contributor.author | Glynn, Peter W. | - |
dc.contributor.author | Giesecke, Kay | - |
dc.contributor.author | Blanchet, Jose | - |
dc.date.accessioned | 2019-07-02T07:16:08Z | - |
dc.date.available | 2019-07-02T07:16:08Z | - |
dc.date.issued | 2009 | - |
dc.identifier.citation | 2009 Winter Simulation Conference (WSC 2009), Austin, TX, 13-16 December 2009. In Proceedings - Winter Simulation Conference, 2009, p. 1291-1298 | - |
dc.identifier.issn | 0891-7736 | - |
dc.identifier.uri | http://hdl.handle.net/10722/271463 | - |
dc.description.abstract | In this paper we study rare event simulation for the tail probability of an affine point process (Jt)t≥0 that generalizes the Hawkes process. By constructing a suitable exponential martingale, we are able to construct an importance sampling algorithm that is logarithmically efficient in the Gartner-Ellis asymptotic regime. ©2009 IEEE. | - |
dc.language | eng | - |
dc.publisher | IEEE. | - |
dc.relation.ispartof | Proceedings - Winter Simulation Conference | - |
dc.title | Rare event simulation for a generalized hawkes process | - |
dc.type | Conference_Paper | - |
dc.description.nature | link_to_subscribed_fulltext | - |
dc.identifier.doi | 10.1109/WSC.2009.5429693 | - |
dc.identifier.scopus | eid_2-s2.0-77951611993 | - |
dc.identifier.spage | 1291 | - |
dc.identifier.epage | 1298 | - |
dc.identifier.issnl | 0891-7736 | - |