A dynamic contagion process

Advances in Applied Probability

Volumn 43, Issue 3, 2011, Pages 814-846

  Dassios, Angelos ^a   Zhao, Hongbiao ^a  

^a LONDON SCHOOL OF ECONOMICS   (United Kingdom)

Author keywords

Cluster point process; Cox process with shot noise intensity; Dynamic contagion process; Hawkes process; Piecewisedeterministic Markov process; Self exciting point process

Indexed keywords

CLUSTER POINTS; COX PROCESS; HAWKES PROCESS; PIECEWISE DETERMINISTIC MARKOV PROCESS; SELF-EXCITING;

ECONOMICS; INDUSTRIAL APPLICATIONS; LAPLACE TRANSFORMS; RISK ASSESSMENT; SHOT NOISE;

MARKOV PROCESSES;

EID: 80053391178     PISSN: 00018678     EISSN: None     Source Type: Journal    
DOI: 10.1239/aap/1316792671     Document Type: Article

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