Rare Event Simulation for a Generalized Hawkes Process
Dec 10, 2009·
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0 min read
Xiaowei Zhang
Peter W. Glynn
Kay Giesecke
Jose Blanchet
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
Publication
Proceedings of the 2009 Winter Simulation Conference, 1291–1298
Authors
I am an Associate Professor at HKUST, jointly appointed in the Department of Industrial Engineering and Decision Analytics and the Department of Economics, and the Academic Director of the MSc in FinTech program. I serve as an Associate Editor for several leading journals in the field, including Management Science, Operations Research, Navel Research Logistics, and Queueing Systems.
Authors
Thomas W. Ford Professor in the Department of Management Science and Engineering, Stanford University.
Authors
Professor in the Department of Management Science and Engineering and Director of the Mathematical and Computational Finance Program at Stanford University.
Authors
Professor in the Department of Management Science and Engineering, Stanford University.