Rare Event Simulation for a Generalized Hawkes Process

Xiaowei Zhang, Peter W. Glynn, Kay Giesecke, Jose Blanchet. Rare Event Simulation for a Generalized Hawkes Process. In Ann Dunkin, Ricki G. Ingalls, Enver Yücesan, Manuel D. Rossetti, Ray Hill, Björn Johansson, editors, Proceedings of the 2009 Winter Simulation Conference, WSC 2009, Hilton Austin Hotel, Austin, TX, USA, December 13-16, 2009. pages 1291-1298, WSC, 2009. [doi]

Abstract

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