Speaker:
Lingjiong Zhu, University of Minnesota-Twin Cities
Title:
Self-Exciting Point Processes
Abstract:
Self-exciting point processes are simple point processes that
have been widely used in neuroscience, sociology, finance and many other
fields. In many contexts, self-exciting point processes can model the
complex systems in the real world better than the standard Poisson
processes. We will discuss the Hawkes process, the most studied
self-exciting point process in the literature and also propose a new
model. Limit theorems, time asymptotics in different regimes, marginal and
tail probabilities will be discussed. The second part of the talk is based
on the joint work with Tzu-Wei Yang.