X. -W. Zhang, P. W. Glynn, K. Giesecke and J. Blanchet, “Rare event simulation for a generalized Hawkes process,” Proceedings of the 2009 Winter Simulation Conference (WSC), Austin, TX, USA, 2009, pp. 1291-1298, doi: 10.1109/WSC.2009.5429693.
Abstract
In this paper we study rare event simulation for the tail probability of an affine point process (J t ) t¿0 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.
Authors
Xiao-Wei Zhang, Peter W Glynn, Kay Giesecke, Jose Blanchet
Publication date
2009/12/13
Conference
Proceedings of the 2009 Winter Simulation Conference (WSC)
Pages
1291-1298
Publisher
IEEE
