Browsing 2020 by Subject "Stochastic differential equations"
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Theoretical Analysis and Simulation Methods for Hawkes Processes and their Diffusion Approximation
[OWP-2020-09] (Mathematisches Forschungsinstitut Oberwolfach, 2020-03-30)Oscillatory systems of interacting Hawkes processes with Erlang memory kernels were introduced in Ditlevsen and Löcherbach (2017). They are piecewise deterministic Markov processes (PDMP) and can be approximated by a ...