EXACT SIMULATION OF VARIOUS MULTIVARIATE HAWKES PROCESSES

DOI IR (HANDLE)

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Other Title
  • 種々の多変数ホークス過程のExact Simulation

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Description

In this paper, we introduce various Hawkes processes such as multivariate Hawkes processes with CIR intensity, multivariate Hawkes processes with Jump-diffusion CIR intensity and multivariate Hawkes processes with Non-Gaussian intensity and derive their exact simulations which generate unbiased sample paths. These processes introduced in this paper are generalised multivariate Hawkes processes, which possess useful characteristics for modeling events with contagion and clustering in finance, insurance and other fields. In addition to the exact simulation, for comparison we introduce two discretization schemes which generate sample paths approximately via discretizing time. One is simulation scheme adopting Euler-Maruyama approximation for renewing the intensity process, and the other is simulation scheme adopting exact simulation for renewing the intensity process. In the numerical result, for each stochastic process, we verify the validity and efficiency of exact simulation and discretization schemes and compare these simulation schemes. In addition, we present some applications in insurance and show the availability of these simulation schemes.

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Details 詳細情報について

  • CRID
    1390290700508500864
  • NII Article ID
    120007119556
  • NII Book ID
    AA12677220
  • DOI
    10.15002/00024019
  • HANDLE
    10114/00024019
  • ISSN
    21879923
  • Text Lang
    ja
  • Article Type
    departmental bulletin paper
  • Data Source
    • JaLC
    • IRDB
    • CiNii Articles
  • Abstract License Flag
    Allowed

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