Related papers: A Bivariate Compound Dynamic Contagion Process for…
Diffusion processes are instrumental to describe the movement of a continuous quantity in a generic network of interacting agents. Here, we present a probabilistic framework for diffusion in networks and propose to classify agent…
Dynamic prediction of time-to-event outcomes using longitudinal data is highly useful in clinical research and practice. A common strategy is the joint modeling of longitudinal and time-to-event data. The shared random effect model has been…
This paper investigates the form of optimal reinsurance contracts in the case of clusters of losses. The underlying insured risk is represented by a marked Hawkes process, where the intensity of the jumps depends not only on the occurrence…
In this two-part paper, we consider multicomponent systems in which each component can iteratively exchange information with other components in its neighborhood in order to compute, in a distributed fashion, the average of the components'…
We present a computational approach for estimating emotion contagion on social media networks. Built on a foundation of psychology literature, our approach estimates the degree to which the perceivers' emotional states (positive or…
In our more and more interconnected world, a specific risk is that of a cyber-epidemic (or cyber-pandemic), produced either accidentally or intentionally, where a cyber virus propagates from device to device up to undermining the global…
Dynamic event prediction, using joint modeling of survival time and longitudinal variables, is extremely useful in personalized medicine. However, the estimation of joint models including many longitudinal markers is still a computational…
An approach is developed for analyzing computer networks to identify systems and accounts that are at particular risk of compromise by an adversary seeking to move laterally through the network via authentication. The dynamics of the…
This paper investigates optimal investment and insurance strategies under a mean-variance criterion with path-dependent effects. We use a rough volatility model and a Hawkes process with a power kernel to capture the path dependence of the…
Common asset holdings are widely believed to have been the primary vector of contagion in the recent financial crisis. We develop a network approach to the amplification of financial contagion due to the combination of overlapping…
The convergence of information and communication technologies has introduced new and advanced capabilities to Industrial Control Systems. However, concurrently, it has heightened their vulnerability to cyber attacks. Consequently, the…
Yet often neglected, dynamical interdependencies between concomitant contagion processes can alter their intrinsic equilibria and bifurcations. A particular case of interest for disease control is the emergence of explosive transitions in…
In this paper, we establish a large deviations principle for a multivariate compound process induced by a multivariate Hawkes process with random marks. Our proof hinges on showing essential smoothness of the limiting cumulant of the…
Quadratic Hawkes (QHawkes) processes have proved effective at reproducing the statistics of price changes, capturing many of the stylised facts of financial markets. Motivated by the recently reported strong occurrence of endogenous…
The estimation of absorption time distributions of Markov jump processes is an important task in various branches of statistics and applied probability. While the time-homogeneous case is classic, the time-inhomogeneous case has recently…
In applied time-to-event analysis, a flexible parametric approach is to model the hazard rate as a piecewise constant function of time. However, the change points and values of the piecewise constant hazard are usually unknown and need to…
As impressively shown by the financial crisis in 2007/08, contagion effects in financial networks harbor a great threat for the stability of the entire system. Without sufficient capital requirements for banks and other financial…
This work introduces a self and mutually exciting point process that embeds flexible residuals and intensity with discretely Markovian dynamics. By allowing the integration of diverse residual distributions, this model serves as an…
Sequences of events including infectious disease outbreaks, social network activities, and crimes are ubiquitous and the data on such events carry essential information about the underlying diffusion processes between communities (e.g.,…
We consider the problem of optimal investment and consumption in a class of multidimensional jump-diffusion models in which asset prices are subject to mutually exciting jump processes. This captures a type of contagion where each downward…