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Kalikow decomposition for counting processes with stochastic intensity *

Authors :
PHI, Tien Cuong
Laboratoire Jean Alexandre Dieudonné (JAD)
Université Côte d'Azur (UCA)-Université Nice Sophia Antipolis (... - 2019) (UNS)
COMUE Université Côte d'Azur (2015-2019) (COMUE UCA)-COMUE Université Côte d'Azur (2015-2019) (COMUE UCA)-Centre National de la Recherche Scientifique (CNRS)
ANR-19-P3IA-0002,3IA@cote d'azur,3IA Côte d'Azur(2019)
ANR-15-IDEX-0001,UCA JEDI,Idex UCA JEDI(2015)
Publication Year :
2021
Publisher :
HAL CCSD, 2021.

Abstract

We propose a new Kalikow decomposition and the corresponding Perfect Simulation algorithm for continuous time multivariate counting processes, on potentially infinite networks. We prove the existence of such a decomposition in various cases. This decomposition is not unique and we discuss the choice of the decomposition in terms of algorithmic efficiency. We apply these methods on several examples: linear Hawkes process, age dependent Hawkes process, exponential Hawkes process.

Details

Language :
English
Database :
OpenAIRE
Accession number :
edsair.dedup.wf.001..14ff596b8e8479c43ce9a3eb16343856