Department of Mathematics

Speaker: Lingjiong Zhu
Title: Self-Exciting Point Processes
Affiliation: University of Minnesota
Date: Friday, January 9, 2015
Place and Time: Room 101, Love Building, 3:35-4:30 pm
Refreshments: Room 204, Love Building, 3:00 pm

Abstract. Self-exciting point processes are simple point processes that have been widely used in neuroscience, sociology, finance and many other fields. In many contexts, self-exciting point processes can model the complex systems in the real world better than the standard Poisson processes. We will discuss the Hawkes process, the most studied self-exciting point process in the literature. We will talk about the limit theorems and asymptotics in different regimes. Extensions to Hawkes processes and other self-exciting point processes will also be discussed.