Hawkes Processes with Stochastic Excitations

Abstract

We propose an extension to Hawkes processes by treating the levels of self-excitation as a stochastic differential equation. Our new point process allows better approximation in application domains where events and intensities accelerate each other with correlated levels of contagion. We generalize a recent algorithm for simulating draws from Hawkes… (More)

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Cite this paper

@inproceedings{Lee2016HawkesPW, title={Hawkes Processes with Stochastic Excitations}, author={Young Lee and Kar Wai Lim and Cheng Soon Ong}, booktitle={ICML}, year={2016} }