A fractional Hawkes process

DOI10.1007/978-3-030-69236-0_7zbMath1468.60047arXiv2003.01027OpenAlexW3006918928MaRDI QIDQ2050302

Enrico Scalas, A. G. Hawkes, Jing Chen

Publication date: 30 August 2021

Full work available at URL: https://arxiv.org/abs/2003.01027

zbMATH Keywords

stochastic processespoint processesHawkes processes

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

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Cites Work

• First- and Second-Order Statistics Characterization of Hawkes Processes and Non-Parametric Estimation
• On Lewis' simulation method for point processes
• Fractional Calculus: Integral and Differential Equations of Fractional Order
• Numerical Evaluation of Two and Three Parameter Mittag-Leffler Functions
• Spectra of some self-exciting and mutually exciting point processes
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