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EFFICIENT SIMULATION OF LEVY-DRIVEN POINT PROCESSES

Qu, Y; Dassios, A; Zhao, HB

Qu, Y (reprint author), London Sch Econ & Polit Sci, Dept Stat, Houghton St, London WC2A 2AE, England.

ADVANCES IN APPLIED PROBABILITY, 2019; 51 (4): 927

Abstract

In this paper, we introduce a new large family of Levy-driven point processes with (and without) contagion, by generalising the classical self-excitin......

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