Exact simulation of multivariate Hawkes process with jump-diffusion CIR intensity
Prof. Kazuhiro YasudaHosei Univerisity 14:30 – 16:00 Gedung Hongjing M107
Abstract：
In this paper, we introduce multivariate Hawkes processes with jump-diffusion CIR intensity and provide their exact simulation algorithm. The algorithm is an extension of the exact simulation algorithms given in Dassios and Zhao (2017) for generalised self-exciting point processes with CIR-type intensities and their extensions. Namely, we adopt a distributional decomposition for the processes. In addition, we also consider two time discretization schemes in which we approximately generate sample paths of not only counting processes but also intensity processes via time discretization. Through some numerical experiments, we discuss the validity and efficiency of each method.
20240321演講_ Prof. Kazuhiro Yasuda (Hosei Univerisity)