1 citations · 2 across the 3 of their papers we have counts for
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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…
Compound Multivariate Hawkes Processes: Large Deviations and Rare Event Simulation
Raviar S. Karim, Roger J. A. Laeven, Michel R. H. Mandjes
In this paper, we establish a large deviations principle for a multivariate compound process induced by a multivariate Hawkes process with random marks. Our proof hinges on showing…
Exact and Asymptotic Analysis of General Multivariate Hawkes Processes and Induced Population Processes
Raviar Karim, Roger J. A. Laeven, Michel Mandjes
This paper considers population processes in which general, not necessarily Markovian, multivariate Hawkes processes dictate the stochastic arrivals. We establish results to determ…