11 citations · 16 across the 7 of their papers we have counts for
7 papers
Functional limiting behaviour of non-stationary marked Hawkes processes under multi-scaling high-intensity regime
Ankita Sen, Dharmaraja Selvamuthu, N. Selvaraju
This paper studies the non-stationary marked Hawkes processes in which the base intensity function is time-dependent and the kernel function is governed by an external random facto…
Asymptotic Analysis of Discrete-Time Hawkes Process
Utpal Jyoti Deba Sarma, Dharmaraja Selvamuthu
In a discrete-time setting, we consider an arrival process , which models the occurrence of events, and a corresponding point p…
Convergences for a Virus-like Evolving Population driven by Mutually-exciting Hawkes Processes
Rahul Roy, Dharmaraja Selvamuthu, Paola Tardelli
This paper presents a stochastic model motivated by the study of a virus-like evolving population with different mutation rates. This is a continuous time birth-death model: the bi…
Study of discrete-time Hawkes process and its compensator
Utpal Jyoti Deba Sarma, Dharmaraja Selvamuthu
The discrete-time Hawkes process (DTHP) is a sub-class of -functions that serves as a discrete-time version of the continuous-time Hawkes process (CTHP). Like the CTHP, the DTHP…
Infinite-server System with Hawkes Arrivals and Hawkes Services
Dharmaraja Selvamuthu, Paola Tardelli
This paper is devoted to the study of the number of customers in infinite-server systems driven by Hawkes processes. In these systems, the self-exciting arrival process is assumed…
A contagion process with self-exciting jumps in credit risk applications
Puneet Pasricha, Dharmaraja Selvamuthu, Selvaraju Natarajan
The modeling of the probability of joint default or total number of defaults among the firms is one of the crucial problems to mitigate the credit risk since the default correlatio…
Numerical optimization of loss system with retrial phenomenon in cellular networks
Vidyottama Jain, Raina Raj, S. Dharmaraja
In this study, we extend upon the model by Haring et al. (2001) by introducing retrial phenomenon in multi-server queueing system. When at most g number of guard channels are avail…