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Generating functions and stability study of multivariate self-excited epidemic processes

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  • A. Saichev
  • D. Sornette

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  • A. Saichev & D. Sornette, 2011. "Generating functions and stability study of multivariate self-excited epidemic processes," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 83(2), pages 271-282, September.
    • Handle: RePEc:spr:eurphb:v:83:y:2011:i:2:p:271-282
    DOI: 10.1140/epjb/e2011-20298-3
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    References listed on IDEAS

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    1. Aït-Sahalia, Yacine & Cacho-Diaz, Julio & Laeven, Roger J.A., 2015. "Modeling financial contagion using mutually exciting jump processes," Journal of Financial Economics, Elsevier, vol. 117(3), pages 585-606.
    2. Luc Bauwens & Nikolaus Hautsch, 2009. "Modelling Financial High Frequency Data Using Point Processes," Springer Books, in: Thomas Mikosch & Jens-Peter Kreiß & Richard A. Davis & Torben Gustav Andersen (ed.), Handbook of Financial Time Series, chapter 41, pages 953-979, Springer.
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    Cited by:

    1. Alexandre Boumezoued, 2015. "Population viewpoint on Hawkes processes," Papers 1504.06563, arXiv.org.
    2. Gabriel Koch Ocker & Krešimir Josić & Eric Shea-Brown & Michael A Buice, 2017. "Linking structure and activity in nonlinear spiking networks," PLOS Computational Biology, Public Library of Science, vol. 13(6), pages 1-47, June.
    3. Didier Sornette & Thomas Maillart & Giacomo Ghezzi, 2014. "How Much Is the Whole Really More than the Sum of Its Parts? 1 ⊞ 1 = 2.5: Superlinear Productivity in Collective Group Actions," PLOS ONE, Public Library of Science, vol. 9(8), pages 1-15, August.
    4. Lirong Cui & Didier Sornette, 2025. "Expectations of Linear and Nonlinear Hawkes Processes Using a Field-Theoretical Approach," Journal of Agricultural, Biological and Environmental Statistics, Springer;The International Biometric Society;American Statistical Association, vol. 30(1), pages 63-88, March.

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