Rare Event Simulation for a Generalized Hawkes Process

Xiaowei Zhang, Peter W. Glynn, Kay Giesecke, Jose Blanchet
December 2009
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
Xiaowei Zhang
Associate Professor

My research research focuses on methodological advances in stochastic simulation and optimization, decision analytics, and reinforcement learning, with applications in service operations management, FinTech, and digital economy.

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