2 papers
math.PR2025
Markovian multivariate Hawkes population processes: Efficient evaluation of moments
R. S. Karim, R. J. A. Laeven, M +1
We provide probabilistic and computational results on Markovian multivariate Hawkes processes and induced population processes. By applying the Markov property, we characterize in…
math.PR2016
Detecting Markov Chain Instability: A Monte Carlo Approach
Michel Mandjes, Brendan Patch, Neil Walton
We devise a Monte Carlo based method for detecting whether a non-negative Markov chain is stable for a given set of parameter values. More precisely, for a given subset of the para…