Hawkes Simulation

Version 1.0.2 (5.02 KB) by Riccardo Brignone
This file contains code for exact simulation of Hawkes processes with exponential kernel.
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Updated 29 Mar 2020

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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.

Cite As

Riccardo Brignone and Luca Gonzato (2020). Hawkes Simulation (https://www.mathworks.com/matlabcentral/fileexchange/74738), MATLAB Central File Exchange. Retrieved March 27, 2020.

MATLAB Release Compatibility
Created with R2020a
Compatible with any release
Platform Compatibility
Windows macOS Linux

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Version Published Release Notes
1.0.2

Improved comments
1.0.1

Citation updated
1.0.0