A fractional Hawkes process

Chen, Jing ORCID: https://orcid.org/0000-0001-7135-2116 2021. 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, Item availability restricted.

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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
ISBN:	9783030692360
ISSN:	2199-3041
Date of First Compliant Deposit:	26 May 2020
Date of Acceptance:	13 March 2019
Last Modified:	07 Nov 2022 10:10
URI:	https://orca.cardiff.ac.uk/id/eprint/131354

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