The file contains four different functions allowing to simulate exactly an Hawkes process with exponential kernel. Methodologies implemented are:
1) Euler scheme
2) Ogata's modified thinning algorithm
3) Daley and Vere-Jones modified thinning algorithm
4) Dassios and Zhao exact simulation
A script is also provided as example.
Riccardo Brignone and Luca Gonzato (2020). Hawkes Simulation (https://www.mathworks.com/matlabcentral/fileexchange/74738), MATLAB Central File Exchange. Retrieved March 27, 2020.
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