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 ...

Abstract: In this paper we study rare event simulation for the tail probability of an affine point process (J t ) t¿0 that generalizes the Hawkes process.

PDF | 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.

In this paper we study rare event simulation for the tail probability of an affine point process that generalizes the Hawkes process.

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.

Abstract: In this paper we study rare event simulation for the tail probability of an affine point process (J t ) t¿0 that generalizes the Hawkes process.

Dec 13, 2009 · 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 ...

Dec 13, 2009 · 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 ...

This paper develops rare event simulation methodology for the number of counts in a self-excited counting process that is often used in credit-risk modeling.

Glynn. Affine Point Processes: Approximation and Efficient Simulation · Rare Event Simulation for a Generalized Hawkes Process. Xiaowei Zhang, Peter W. Glynn ...