Ergodicity and Scaling Limit of a Constrained Multivariate Hawkes Process
نویسندگان
چکیده
منابع مشابه
Ergodicity and scaling limit of a constrained multivariate Hawkes process
We introduce a multivariate Hawkes process with constraints on its conditional density. It is a multivariate point process with conditional intensity similar to that of a multivariate Hawkes process but certain events are forbidden with respect to boundary conditions on a multidimensional constraint variable, whose evolution is driven by the point process. We study this process in the special c...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2013
ISSN: 1556-5068
DOI: 10.2139/ssrn.2203121