Integration by parts formula for marked Hawkes processes

開催日時
2017/06/02 金 15:00 - 16:30
場所
3号館552号室
講演者
竹内 敦司
講演者所属
大阪市立大学大学院理学研究科
概要

Let $L$ be a marked Hawkes process with the conditional intensity $\lambda$. The goal in this talk is to construct the integration by parts formulas for the processes $L$ and $\lambda$. I will also study some properties on the processes from the viewpoint of the formulas.