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A fractional Hawkes process

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posted on 2023-06-09, 21:06 authored by J Chen, A G Hawkes, Enrico Scalas
We modify ETAS models by replacing the Pareto-like kernel proposed by Ogata with a Mittag-Leffler type kernel. Provided that the kernel decays as a power law with exponent ß+1?(1,2] , this replacement has the advantage that the Laplace transform of the Mittag-Leffler function is known explicitly, leading to simpler calculation of relevant quantities.

History

Publication status

  • Published

File Version

  • Accepted version

Publisher

Springer International Publishing

Volume

26

Page range

121-131

Pages

308.0

Book title

Nonlocal and fractional operators

ISBN

9783030692353

Series

SEMA SIMAI Springer Series

Department affiliated with

  • Mathematics Publications

Full text available

  • No

Peer reviewed?

  • Yes

Editors

Luisa Beghin, Roberto Garrappa, Francesco Mainardi

Legacy Posted Date

2021-05-04

First Compliant Deposit (FCD) Date

2021-07-29

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