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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 ScalasWe 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.
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- Published
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- Accepted version
Publisher
Springer International PublishingExternal DOI
Volume
26Page range
121-131Pages
308.0Book title
Nonlocal and fractional operatorsISBN
9783030692353Series
SEMA SIMAI Springer SeriesDepartment affiliated with
- Mathematics Publications
Full text available
- No
Peer reviewed?
- Yes
Editors
Luisa Beghin, Roberto Garrappa, Francesco MainardiLegacy Posted Date
2021-05-04First Compliant Deposit (FCD) Date
2021-07-29Usage metrics
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