27 results
Tail asymptotics and precise large deviations for some Poisson cluster processes
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- Advances in Applied Probability , First View
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- 26 July 2024, pp. 1-37
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Change of measure in a Heston–Hawkes stochastic volatility model
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- Advances in Applied Probability , First View
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- 24 July 2024, pp. 1-30
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(Almost) complete characterization of the stability of a discrete-time Hawkes process with inhibition and memory of length two
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- Journal of Applied Probability , First View
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- 24 May 2024, pp. 1-22
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Heavy-traffic limits for parallel single-server queues with randomly split Hawkes arrival processes
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- Journal of Applied Probability / Volume 61 / Issue 2 / June 2024
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- 07 August 2023, pp. 490-514
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- June 2024
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Kalikow decomposition for counting processes with stochastic intensity and application to simulation algorithms
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- Journal of Applied Probability / Volume 60 / Issue 4 / December 2023
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- 19 May 2023, pp. 1469-1500
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- December 2023
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On the cumulant transforms for Hawkes processes
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- Journal of Applied Probability / Volume 60 / Issue 2 / June 2023
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- 23 February 2023, pp. 528-541
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- June 2023
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On extremes of random clusters and marked renewal cluster processes
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- Journal of Applied Probability / Volume 60 / Issue 2 / June 2023
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- 09 December 2022, pp. 367-381
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- June 2023
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An ephemerally self-exciting point process
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- Advances in Applied Probability / Volume 54 / Issue 2 / June 2022
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- 14 March 2022, pp. 340-403
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- June 2022
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Pricing VIX derivatives using a stochastic volatility model with a flexible jump structure
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- Probability in the Engineering and Informational Sciences / Volume 37 / Issue 1 / January 2023
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- 27 January 2022, pp. 245-274
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Replica-mean-field limits of fragmentation-interaction-aggregation processes
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- Journal of Applied Probability / Volume 59 / Issue 1 / March 2022
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- 17 January 2022, pp. 38-59
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- March 2022
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Modelling Burglary in Chicago using a self-exciting point process with isotropic triggering
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- European Journal of Applied Mathematics / Volume 33 / Issue 2 / April 2022
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- 08 April 2021, pp. 369-391
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RUIN PROBABILITIES FOR A MULTIDIMENSIONAL RISK MODEL WITH NON-STATIONARY ARRIVALS AND SUBEXPONENTIAL CLAIMS
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- Probability in the Engineering and Informational Sciences / Volume 36 / Issue 3 / July 2022
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- 16 March 2021, pp. 799-811
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A review on Poisson, Cox, Hawkes, shot-noise Poisson and dynamic contagion process and their compound processes
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- Annals of Actuarial Science / Volume 15 / Issue 3 / November 2021
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- 09 September 2020, pp. 623-644
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Functional central limit theorems and moderate deviations for Poisson cluster processes
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- Advances in Applied Probability / Volume 52 / Issue 3 / September 2020
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- 24 September 2020, pp. 916-941
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- September 2020
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Multivariate Hawkes process for cyber insurance
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- Annals of Actuarial Science / Volume 15 / Issue 1 / March 2021
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- 17 June 2020, pp. 14-39
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An elementary derivation of moments of Hawkes processes
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- Advances in Applied Probability / Volume 52 / Issue 1 / March 2020
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- 29 April 2020, pp. 102-137
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- March 2020
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On the total claim amount for marked Poisson cluster models
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- Advances in Applied Probability / Volume 51 / Issue 2 / June 2019
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- 07 August 2019, pp. 541-569
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- June 2019
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Infinite-server queues with Hawkes input
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- Journal of Applied Probability / Volume 55 / Issue 3 / September 2018
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- 16 November 2018, pp. 920-943
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- September 2018
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Population viewpoint on Hawkes processes
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- Advances in Applied Probability / Volume 48 / Issue 2 / June 2016
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- 10 June 2016, pp. 463-480
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- June 2016
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Spatio-temporal patterns of IED usage by the Provisional Irish Republican Army
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- European Journal of Applied Mathematics / Volume 27 / Issue 3 / June 2016
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- 20 January 2016, pp. 377-402
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