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 …
On the Dynamics of a Finite Buffer Queue Conditioned on the Amount of Loss
This paper is concerned with computing large deviations asymptotics for the loss process in a stylized queueing model that is fed by a Brownian input process. In addition, the …
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 …