Hybrid marked point processes: characterisation, existence and uniqueness

Maxime Morariu-Patrichi and Mikko S. Pakkanen

Papers from arXiv.org

Abstract: We introduce a class of hybrid marked point processes, which encompasses and extends continuous-time Markov chains and Hawkes processes. While this flexible class amalgamates such existing processes, it also contains novel processes with complex dynamics. These processes are defined implicitly via their intensity and are endowed with a state process that interacts with past-dependent events. The key example we entertain is an extension of a Hawkes process, a state-dependent Hawkes process interacting with its state process. We show the existence and uniqueness of hybrid marked point processes under general assumptions, extending the results of Massouli\'e (1998) on interacting point processes.

Date: 2017-07, Revised 2018-10
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Published in Market Microstructure and Liquidity 2018, Vol. 4, No. 3&4, 1950007 (55 pp.)

Downloads: (external link)
http://arxiv.org/pdf/1707.06970 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1707.06970

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().