Rare Event Simulation for a Generalized Hawkes Process

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.

Publication
Proceedings of the 2009 Winter Simulation Conference, 1291–1298
FinTech & Quantitative Risk Data-Driven Simulation & Stochastic Optimization
Xiaowei Zhang

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