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Conference Paper: Rare event simulation for a generalized hawkes process

TitleRare event simulation for a generalized hawkes process
Authors
Zhang, Xiao WeiGlynn, Peter W.Giesecke, KayBlanchet, Jose
Issue Date2009
PublisherIEEE.
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?
DOI: http://dx.doi.org/10.1109/WSC.2009.5429693
AbstractIn 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 Identifierhttp://hdl.handle.net/10722/271463
ISSN
0891-7736
2023 SCImago Journal Rankings: 0.272

 

DC FieldValueLanguage
dc.contributor.authorZhang, Xiao Wei-
dc.contributor.authorGlynn, Peter W.-
dc.contributor.authorGiesecke, Kay-
dc.contributor.authorBlanchet, Jose-
dc.date.accessioned2019-07-02T07:16:08Z-
dc.date.available2019-07-02T07:16:08Z-
dc.date.issued2009-
dc.identifier.citation2009 Winter Simulation Conference (WSC 2009), Austin, TX, 13-16 December 2009. In Proceedings - Winter Simulation Conference, 2009, p. 1291-1298-
dc.identifier.issn0891-7736-
dc.identifier.urihttp://hdl.handle.net/10722/271463-
dc.description.abstractIn 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.languageeng-
dc.publisherIEEE.-
dc.relation.ispartofProceedings - Winter Simulation Conference-
dc.titleRare event simulation for a generalized hawkes process-
dc.typeConference_Paper-
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1109/WSC.2009.5429693-
dc.identifier.scopuseid_2-s2.0-77951611993-
dc.identifier.spage1291-
dc.identifier.epage1298-
dc.identifier.issnl0891-7736-

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