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math.PR2022★ 1 cited
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…
math.PR2022★ 1 cited
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…