Rare Event Simulation for a Generalized Hawkes Process

Xiaowei Zhang, Peter W. Glynn, Kay Giesecke, Jose Blanchet
DOI

Abstract

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

Type
Conference paper
Publication
Proceedings of the 2009 Winter Simulation Conference, 1291–1298
Hawkes process affine point process importance sampling large deviations rare event simulation
Xiaowei Zhang

My research interests include AI simulation, reinforcement learning, and stochastic optimization with applications in business operations, finance, and digital economy.