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The Danish National Research Foundation:
Network in Mathematical Physics and Stochastics

Funded by The Danish National Research Foundation

MPS-RR 2004-28
December 2004

Approximate Simulation of Hawkes Processes

by: Jakob G. Rasmussen , Jesper Møller


This article concerns a simulation algorithm for unmarked and marked Hawkes processes. The algorithm suffers from edge effects but is much faster than the perfect simulation algorithm introduced in our previous work [12]. We derive various useful measures for the error committed when using the algorithm, and we discuss various empirical results for the algorithm compared with perfect simulations.

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