Affine Point Processes: Approximation and Efficient Simulation
We establish a central limit theorem and a large deviations principle for affine point processes, which are stochastic models of correlated event timing widely used in finance and …
Jose Blanchet
Professor in the Department of Management Science and Engineering, Stanford University.
Rare Event Simulation for a Generalized Hawkes Process
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 …
Efficient Suboptimal Rare-event Simulation
Much of the rare-event simulation literature is concerned with the development of asymptotically optimal algorithms. Because of the difficulties associated with applying these …