12 citations · 32 across the 31 of their papers we have counts for
11 papers · 1 filter
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…
Sample Path Large Deviations for Multivariate Heavy-Tailed Hawkes Processes and Related Lévy Processes
Jose Blanchet, Roger J. A. Laeven, Xingyu Wang +1
In this paper, we develop sample path large deviations for multivariate Hawkes processes with heavy-tailed mutual excitation rates. Our results address a broad class of rare events…
Tail Asymptotics of Cluster Sizes in Multivariate Heavy-Tailed Hawkes Processes
Jose Blanchet, Roger J. A. Laeven, Xingyu Wang +1
We examine a distributional fixed-point equation related to a multi-type branching process that is key in the cluster sizes analysis of multivariate heavy-tailed Hawkes processes.…
Spatiotemporal Hawkes processes with a graphon-induced connectivity structure
Justin Baars, Roger J. A. Laeven, Michel Mandjes
We introduce a spatiotemporal self-exciting point process , boundedly finite both over time and space , with excitation structure determined by a…
Geometric BSDEs
Roger J. A. Laeven, Emanuela Rosazza Gianin, Marco Zullino
We introduce Geometric Backward Stochastic Differential Equations (GBSDEs) and two-driver BSDEs, which arise naturally in the geometric dynamics of dynamic return risk measures and…
Optimal Stopping with Randomly Arriving Stopping Opportunities
Josha A. Dekker, Roger J. A. Laeven, John G. M. Schoenmakers +1
We develop simulation-based methods to solve general optimal stopping problems with opportunities to stop that arrive randomly. Such problems occur naturally in a wide variety of a…
Delayed Hawkes birth-death processes
Justin Baars, Roger J. A. Laeven, Michel Mandjes
We introduce, and formally establish, a variant of the Hawkes-fed birth-death process -- the delayed Hawkes birth-death process -- in which the conditional intensity does not incre…
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…
Large deviations asymptotics for unbounded additive functionals of diffusion processes
Mihail Bazhba, Jose Blanchet, Roger J. A. Laeven +1
We study large deviations asymptotics for a class of unbounded additive functionals, interpreted as normalized accumulated areas, of one-dimensional Langevin diffusions with sub-li…
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…
Robust Multiple Stopping -- A Pathwise Duality Approach
Roger J. A. Laeven, John G. M. Schoenmakers, Nikolaus F. F. Schweizer +1
We develop a method to solve, theoretically and numerically, general optimal stopping problems. Our general setting allows for multiple exercise rights, i.e., optimal multiple stop…