Related papers: Compound Multivariate Hawkes Processes: Large Devi…
Rough volatility is a well-established statistical stylised fact of financial assets. This property has lead to the design and analysis of various new rough stochastic volatility models. However, most of these developments have been carried…
In this paper, we introduce a new model for the risk process based on general compound Hawkes process (GCHP) for the arrival of claims. We call it risk model based on general compound Hawkes process (RMGCHP). The Law of Large Numbers (LLN)…
In this paper, we develop a method to model and estimate several, _dependent_ count processes, using granular data. Specifically, we develop a multivariate Cox process with shot noise intensities to jointly model the arrival process of…
We consider Piecewise Deterministic Markov Processes (PDMPs) with a finite set of discrete states. In the regime of fast jumps between discrete states, we prove a law of large number and a large deviation principle. In the regime of fast…
We prove a maximal-type large deviation principle for dynamical systems with arbitrarily slow polynomial mixing rates. Also several applications, particularly to billiard systems, are presented.
In this paper, we address rare-event simulation for heavy-tailed L\'evy processes with infinite activities. The presence of infinite activities poses a critical challenge, making it impractical to simulate or store the precise sample path…
This work concerns about multiscale multivalued McKean-Vlasov stochastic systems. First of all, we use a contractive mapping principle to establish the well-posedness for fully coupled multivalued McKean-Vlasov stochastic systems under…
An extension of the Hawkes process, the Marked Hawkes process distinguishes itself by featuring variable jump size across each event, in contrast to the constant jump size observed in a Hawkes process without marks. While extensive…
Multivariate Hawkes processes are commonly used to model streaming networked event data in a wide variety of applications. However, it remains a challenge to extract reliable inference from complex datasets with uncertainty quantification.…
In this paper we propose a framework that enables the study of large deviations for point processes based on stationary sequences with regularly varying tails. This framework allows us to keep track not of the magnitude of the extreme…
The Hawkes process is a self-exciting sample point process. It has wide applications in finance, social networks, criminology, seismology, and many other fields. With the development of storage technology, data-driven models are attracting…
We give a construction of the Hawkes process as a piecewise competing risks model. We argue that the most natural interpretation of the self-excitation kernel is the hazard function of a defective random variable. This establishes a link…
The Hawkes process is a popular point process model for event sequences that exhibit temporal clustering. The intensity process of a Hawkes process consists of two components, the baseline intensity and the accumulated excitation effect due…
This paper focuses on systems of nonlinear second-order stochastic differential equations with multi-scales. The motivation for our study stems from mathematical physics and statistical mechanics, for examples, Langevin dynamics and…
Detecting rare events, those defined to give rise to high impact but have a low probability of occurring, is a challenge in a number of domains including meteorological, environmental, financial and economic. The use of machine learning to…
We consider the stochastic volatility model obtained by adding a compound Hawkes process to the volatility of the well-known Heston model. A Hawkes process is a self-exciting counting process with many applications in mathematical finance,…
This paper presents an algorithm for the simulation of Hawkes-type processes where the intensity is expressed in terms of a continuous-time autoregressive moving average model. We identify upper bounds for both the univariate and the…
We prove large and moderate deviation principles for the distribution of an empirical mean conditioned by the value of the sum of discrete i.i.d. random variables. Some applications for combinatoric problems are discussed.
The Hawkes process has garnered attention in recent years for its suitability to describe the behavior of online information cascades. Here, we present a fully tractable approach to analytically describe the distribution of the number of…
The Hawkes process is a widely used model in many areas, such as finance, seismology, neuroscience, epidemiology, and social sciences. Estimation of the Hawkes process from continuous observations of a sample path is relatively…