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A fractional Hawkes process

Chen, Jing 2020. A fractional Hawkes process. Presented at: Nonlocal and Fractional Operators in honour of Prof. Renato Spigler, Rome, Italy, 12-13 April 2019. Published in: Garrappa, Roberto, Mainardi, Francesco and Beghin, Luisa eds. Nonlocal and fractional operators: Theory and applications to physics, probability and numerical analysis. SEMA SIMAI Springer Series Springer,
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Abstract

We modify ETAS models by replacing the Pareto-like kernel proposed by Ogata with a Mittag-Leffler type kernel. Provided that the kernel decays as a power law with exponent β + 1 ∈ (1, 2], this replacement has the advantage that the Laplace transform of the Mittag-Leffler function is known explicitly, leading to simpler calculation of relevant quantities

Item Type: Conference or Workshop Item (Paper)
Date Type: Publication
Status: In Press
Schools: Mathematics
Subjects: H Social Sciences > HG Finance
Q Science > QA Mathematics
Publisher: Springer
ISSN: 2199-3041
Date of First Compliant Deposit: 26 May 2020
Date of Acceptance: 13 March 2019
Last Modified: 21 Sep 2020 10:53
URI: http://orca-mwe.cf.ac.uk/id/eprint/131354

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