A dynamic contagion process

@article{Dassios2011ADC,
  title={A dynamic contagion process},
  author={A. Dassios and Hongbiao Zhao},
  journal={Advances in Applied Probability},
  year={2011},
  volume={43},
  pages={814 - 846}
}
We introduce a new point process, the dynamic contagion process, by generalising the Hawkes process and the Cox process with shot noise intensity. Our process includes both self-excited and externally excited jumps, which could be used to model the dynamic contagion impact from endogenous and exogenous factors of the underlying system. We have systematically analysed the theoretical distributional properties of this new process, based on the piecewise-deterministic Markov process theory… Expand
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