12 citations · 32 across the 31 of their papers we have counts for
3 papers · 2 filters
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.…