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Kalikow decomposition for counting processes with stochastic intensity *
- 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