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@article{Morariu-Patrichi:2018:10.1142/s2382626619500072,
author = {Morariu-Patrichi, M and Pakkanen, MS},
doi = {10.1142/s2382626619500072},
journal = {Market Microstructure and Liquidity},
pages = {1950007--1950007},
title = {Hybrid Marked Point Processes: Characterization, Existence and Uniqueness},
url = {http://dx.doi.org/10.1142/s2382626619500072},
volume = {04},
year = {2018}
}

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TY  - JOUR
AB  - <jats:p> In this paper, we introduce a class of hybrid marked point processes, which encompasses and extends continuous-time Markov chains and Hawkes processes. While this flexible class amalgamates such existing processes, it also contains novel processes with complex dynamics. These processes are defined implicitly via their intensity and are endowed with a state process that interacts with past-dependent events. The key example we entertain is an extension of a Hawkes process, a state-dependent Hawkes process interacting with its state process. We show the existence and uniqueness of hybrid marked point processes under general assumptions, extending the results of Massoulié (1998) on interacting point processes. </jats:p>
AU  - Morariu-Patrichi,M
AU  - Pakkanen,MS
DO  - 10.1142/s2382626619500072
EP  - 1950007
PY  - 2018///
SN  - 2382-6266
SP  - 1950007
TI  - Hybrid Marked Point Processes: Characterization, Existence and Uniqueness
T2  - Market Microstructure and Liquidity
UR  - http://dx.doi.org/10.1142/s2382626619500072
UR  - http://hdl.handle.net/10044/1/73447
VL  - 04
ER  -

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