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Multivariate Hawkes processes with simultaneous occurrence of excitation events coming from different sources

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cris.lastimport.scopus2024-02-12T19:34:20Z
dc.abstract.enThis work contributes to the theory of Hawkes processes. We introduce and study a new class of Hawkes processes that we call generalized Hawkes processes, and their special subclass – the generalized multivariate Hawkes processes (GMHPs). GMHPs are multivariate marked point processes that add an important feature to the family of the (classical) multivariate Hawkes processes: they allow for explicit modeling of simultaneous occurrence of excitation events coming from different sources, i.e., caused by different coordinates of the multivariate process.
dc.affiliationUniwersytet Warszawski
dc.contributor.authorJakubowski, Jacek
dc.contributor.authorNiewęgłowski, Mariusz
dc.contributor.authorBielecki, Tomasz R.
dc.date.accessioned2024-01-25T13:17:41Z
dc.date.available2024-01-25T13:17:41Z
dc.date.issued2022
dc.description.financePublikacja bezkosztowa
dc.identifier.doi10.1080/15326349.2022.2134896
dc.identifier.issn1532-6349
dc.identifier.urihttps://repozytorium.uw.edu.pl//handle/item/113148
dc.identifier.weblinkhttps://www.tandfonline.com/doi/pdf/10.1080/15326349.2022.2134896
dc.languageeng
dc.pbn.affiliationmathemathics
dc.relation.ispartofStochastic Models
dc.relation.pages1-29
dc.rightsClosedAccess
dc.sciencecloudnosend
dc.subject.enEpidemiology
dc.subject.engeneralized Hawkes process
dc.subject.engeneralized multivariate Hawkes process
dc.subject.enHawkes kernel
dc.subject.eninsurance
dc.subject.enmultivariate marked point process
dc.subject.enmutual excitation
dc.subject.enpredictable compensator
dc.subject.enrandom measure
dc.titleMultivariate Hawkes processes with simultaneous occurrence of excitation events coming from different sources
dc.typeJournalArticle
dspace.entity.typePublication