• DocumentCode
    1826285
  • Title

    Rare event simulation for a generalized Hawkes process

  • Author

    Zhang, Xiao-Wei ; Glynn, Peter W. ; Giesecke, Kay ; Blanchet, Jose

  • Author_Institution
    Dept. of Manage. Sci. & Eng., Stanford Univ., Stanford, CA, USA
  • fYear
    2009
  • fDate
    13-16 Dec. 2009
  • Firstpage
    1291
  • Lastpage
    1298
  • Abstract
    In this paper we study rare event simulation for the tail probability of an affine point process (Jt)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.
  • Keywords
    affine transforms; importance sampling; probability; Gartner-Ellis asymptotic regime; affine point process; exponential martingale; generalized Hawkes process; importance sampling algorithm; rare event simulation; tail probability; Clustering algorithms; Differential equations; Discrete event simulation; Engineering management; Fourier transforms; Industrial engineering; Monte Carlo methods; Operations research; Tail; Timing;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    Simulation Conference (WSC), Proceedings of the 2009 Winter
  • Conference_Location
    Austin, TX
  • Print_ISBN
    978-1-4244-5770-0
  • Type

    conf

  • DOI
    10.1109/WSC.2009.5429693
  • Filename
    5429693
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=1826285