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sidebar</button> <button class="vector-pinnable-header-toggle-button vector-pinnable-header-unpin-button" data-event-name="pinnable-header.vector-appearance.unpin">hide</button> </div> </div> </div> </nav> </div> </div> <div id="bodyContent" class="vector-body" aria-labelledby="firstHeading" data-mw-ve-target-container> <div class="vector-body-before-content"> <div class="mw-indicators"> </div> <div id="siteSub" class="noprint">From Wikipedia, the free encyclopedia</div> </div> <div id="contentSub"><div id="mw-content-subtitle"></div></div> <div id="mw-content-text" class="mw-body-content"><div class="mw-content-ltr mw-parser-output" lang="en" dir="ltr"><div class="shortdescription nomobile noexcerpt noprint searchaux" style="display:none">A self-exciting counting process</div> <p>In probability theory and statistics, a <b>Hawkes process</b>, named after Alan G. Hawkes, is a kind of self-exciting <a href="/wiki/Point_process" title="Point process">point process</a>.<sup id="cite_ref-1" class="reference"><a href="#cite_note-1"><span class="cite-bracket">[</span>1<span class="cite-bracket">]</span></a></sup> It has arrivals at times <span class="mwe-math-element"><span class="mwe-math-mathml-inline mwe-math-mathml-a11y" style="display: none;"><math xmlns="http://www.w3.org/1998/Math/MathML" alttext="{\textstyle 0<t_{1}<t_{2}<t_{3}<\cdots }"> <semantics> <mrow class="MJX-TeXAtom-ORD"> <mstyle displaystyle="false" scriptlevel="0"> <mn>0</mn> <mo><</mo> <msub> <mi>t</mi> <mrow class="MJX-TeXAtom-ORD"> <mn>1</mn> </mrow> </msub> <mo><</mo> <msub> <mi>t</mi> <mrow class="MJX-TeXAtom-ORD"> <mn>2</mn> </mrow> </msub> <mo><</mo> <msub> <mi>t</mi> <mrow class="MJX-TeXAtom-ORD"> <mn>3</mn> </mrow> </msub> <mo><</mo> <mo>⋯</mo> </mstyle> </mrow> <annotation encoding="application/x-tex">{\textstyle 0<t_{1}<t_{2}<t_{3}<\cdots }</annotation> </semantics> </math></span><img src="https://wikimedia.org/api/rest_v1/media/math/render/svg/322967a708c017e71fd76d5d50c15aba3b568155" class="mwe-math-fallback-image-inline mw-invert skin-invert" aria-hidden="true" style="vertical-align: -0.671ex; width:21.961ex; height:2.509ex;" alt="{\textstyle 0<t_{1}<t_{2}<t_{3}<\cdots }"></span> where the infinitesimal probability of an arrival during the time interval <span class="mwe-math-element"><span class="mwe-math-mathml-inline mwe-math-mathml-a11y" style="display: none;"><math xmlns="http://www.w3.org/1998/Math/MathML" alttext="{\textstyle [t,t+dt)}"> <semantics> <mrow class="MJX-TeXAtom-ORD"> <mstyle displaystyle="false" scriptlevel="0"> <mo stretchy="false">[</mo> <mi>t</mi> <mo>,</mo> <mi>t</mi> <mo>+</mo> <mi>d</mi> <mi>t</mi> <mo stretchy="false">)</mo> </mstyle> </mrow> <annotation encoding="application/x-tex">{\textstyle [t,t+dt)}</annotation> </semantics> </math></span><img src="https://wikimedia.org/api/rest_v1/media/math/render/svg/d0c3976e5e73a5217c4e3ef80a50495b13af2f0f" class="mwe-math-fallback-image-inline mw-invert skin-invert" aria-hidden="true" style="vertical-align: -0.838ex; width:9.161ex; height:2.843ex;" alt="{\textstyle [t,t+dt)}"></span> is </p> <dl><dd><span class="mwe-math-element"><span class="mwe-math-mathml-inline mwe-math-mathml-a11y" style="display: none;"><math xmlns="http://www.w3.org/1998/Math/MathML" alttext="{\displaystyle \lambda _{t}\,dt=\left(\mu (t)+\sum _{t_{i}\,:\,t_{i}\,<\,t}\phi (t-t_{i})\right)\,dt.}"> <semantics> <mrow class="MJX-TeXAtom-ORD"> <mstyle displaystyle="true" scriptlevel="0"> <msub> <mi>λ</mi> <mrow class="MJX-TeXAtom-ORD"> <mi>t</mi> </mrow> </msub> <mspace width="thinmathspace" /> <mi>d</mi> <mi>t</mi> <mo>=</mo> <mrow> <mo>(</mo> <mrow> <mi>μ</mi> <mo stretchy="false">(</mo> <mi>t</mi> <mo stretchy="false">)</mo> <mo>+</mo> <munder> <mo>∑</mo> <mrow class="MJX-TeXAtom-ORD"> <msub> <mi>t</mi> <mrow class="MJX-TeXAtom-ORD"> <mi>i</mi> </mrow> </msub> <mspace width="thinmathspace" /> <mo>:</mo> <mspace width="thinmathspace" /> <msub> <mi>t</mi> <mrow class="MJX-TeXAtom-ORD"> <mi>i</mi> </mrow> </msub> <mspace width="thinmathspace" /> <mo><</mo> <mspace width="thinmathspace" /> <mi>t</mi> </mrow> </munder> <mi>ϕ</mi> <mo stretchy="false">(</mo> <mi>t</mi> <mo>−</mo> <msub> <mi>t</mi> <mrow class="MJX-TeXAtom-ORD"> <mi>i</mi> </mrow> </msub> <mo stretchy="false">)</mo> </mrow> <mo>)</mo> </mrow> <mspace width="thinmathspace" /> <mi>d</mi> <mi>t</mi> <mo>.</mo> </mstyle> </mrow> <annotation encoding="application/x-tex">{\displaystyle \lambda _{t}\,dt=\left(\mu (t)+\sum _{t_{i}\,:\,t_{i}\,<\,t}\phi (t-t_{i})\right)\,dt.}</annotation> </semantics> </math></span><img src="https://wikimedia.org/api/rest_v1/media/math/render/svg/892c77801b529378d5e0a97bdb1a81ff87f0fe63" class="mwe-math-fallback-image-inline mw-invert skin-invert" aria-hidden="true" style="vertical-align: -3.338ex; width:36.987ex; height:7.676ex;" alt="{\displaystyle \lambda _{t}\,dt=\left(\mu (t)+\sum _{t_{i}\,:\,t_{i}\,<\,t}\phi (t-t_{i})\right)\,dt.}"></span></dd></dl> <p>The function <span class="mwe-math-element"><span class="mwe-math-mathml-inline mwe-math-mathml-a11y" style="display: none;"><math xmlns="http://www.w3.org/1998/Math/MathML" alttext="{\textstyle \mu }"> <semantics> <mrow class="MJX-TeXAtom-ORD"> <mstyle displaystyle="false" scriptlevel="0"> <mi>μ</mi> </mstyle> </mrow> <annotation encoding="application/x-tex">{\textstyle \mu }</annotation> </semantics> </math></span><img src="https://wikimedia.org/api/rest_v1/media/math/render/svg/259577540a13444806174d5a1ae7662974f58085" class="mwe-math-fallback-image-inline mw-invert skin-invert" aria-hidden="true" style="vertical-align: -0.838ex; width:1.402ex; height:2.176ex;" alt="{\textstyle \mu }"></span> is the intensity of an underlying <a href="/wiki/Poisson_process" class="mw-redirect" title="Poisson process">Poisson process</a>. The first arrival occurs at time <span class="mwe-math-element"><span class="mwe-math-mathml-inline mwe-math-mathml-a11y" style="display: none;"><math xmlns="http://www.w3.org/1998/Math/MathML" alttext="{\textstyle t_{1}}"> <semantics> <mrow class="MJX-TeXAtom-ORD"> <mstyle displaystyle="false" scriptlevel="0"> <msub> <mi>t</mi> <mrow class="MJX-TeXAtom-ORD"> <mn>1</mn> </mrow> </msub> </mstyle> </mrow> <annotation encoding="application/x-tex">{\textstyle t_{1}}</annotation> </semantics> </math></span><img src="https://wikimedia.org/api/rest_v1/media/math/render/svg/320bbe95ca3fca35387b79119bc121629d58eebf" class="mwe-math-fallback-image-inline mw-invert skin-invert" aria-hidden="true" style="vertical-align: -0.671ex; width:1.894ex; height:2.343ex;" alt="{\textstyle t_{1}}"></span> and immediately after that, the intensity becomes <span class="mwe-math-element"><span class="mwe-math-mathml-inline mwe-math-mathml-a11y" style="display: none;"><math xmlns="http://www.w3.org/1998/Math/MathML" alttext="{\textstyle \mu (t)+\phi (t-t_{1})}"> <semantics> <mrow class="MJX-TeXAtom-ORD"> <mstyle displaystyle="false" scriptlevel="0"> <mi>μ</mi> <mo stretchy="false">(</mo> <mi>t</mi> <mo stretchy="false">)</mo> <mo>+</mo> <mi>ϕ</mi> <mo stretchy="false">(</mo> <mi>t</mi> <mo>−</mo> <msub> <mi>t</mi> <mrow class="MJX-TeXAtom-ORD"> <mn>1</mn> </mrow> </msub> <mo stretchy="false">)</mo> </mstyle> </mrow> <annotation encoding="application/x-tex">{\textstyle \mu (t)+\phi (t-t_{1})}</annotation> </semantics> </math></span><img src="https://wikimedia.org/api/rest_v1/media/math/render/svg/5ca73819bf90c570bcb58db9f8585e2985c4852a" class="mwe-math-fallback-image-inline mw-invert skin-invert" aria-hidden="true" style="vertical-align: -0.838ex; width:15.66ex; height:2.843ex;" alt="{\textstyle \mu (t)+\phi (t-t_{1})}"></span>, and at the time <span class="mwe-math-element"><span class="mwe-math-mathml-inline mwe-math-mathml-a11y" style="display: none;"><math xmlns="http://www.w3.org/1998/Math/MathML" alttext="{\textstyle t_{2}}"> <semantics> <mrow class="MJX-TeXAtom-ORD"> <mstyle displaystyle="false" scriptlevel="0"> <msub> <mi>t</mi> <mrow class="MJX-TeXAtom-ORD"> <mn>2</mn> </mrow> </msub> </mstyle> </mrow> <annotation encoding="application/x-tex">{\textstyle t_{2}}</annotation> </semantics> </math></span><img src="https://wikimedia.org/api/rest_v1/media/math/render/svg/ff237cd3ef85efecab7a900cef26f17496867b59" class="mwe-math-fallback-image-inline mw-invert skin-invert" aria-hidden="true" style="vertical-align: -0.671ex; width:1.894ex; height:2.343ex;" alt="{\textstyle t_{2}}"></span> of the second arrival the intensity jumps to <span class="mwe-math-element"><span class="mwe-math-mathml-inline mwe-math-mathml-a11y" style="display: none;"><math xmlns="http://www.w3.org/1998/Math/MathML" alttext="{\textstyle \mu (t)+\phi (t-t_{1})+\phi (t-t_{2})}"> <semantics> <mrow class="MJX-TeXAtom-ORD"> <mstyle displaystyle="false" scriptlevel="0"> <mi>μ</mi> <mo stretchy="false">(</mo> <mi>t</mi> <mo stretchy="false">)</mo> <mo>+</mo> <mi>ϕ</mi> <mo stretchy="false">(</mo> <mi>t</mi> <mo>−</mo> <msub> <mi>t</mi> <mrow class="MJX-TeXAtom-ORD"> <mn>1</mn> </mrow> </msub> <mo stretchy="false">)</mo> <mo>+</mo> <mi>ϕ</mi> <mo stretchy="false">(</mo> <mi>t</mi> <mo>−</mo> <msub> <mi>t</mi> <mrow class="MJX-TeXAtom-ORD"> <mn>2</mn> </mrow> </msub> <mo stretchy="false">)</mo> </mstyle> </mrow> <annotation encoding="application/x-tex">{\textstyle \mu (t)+\phi (t-t_{1})+\phi (t-t_{2})}</annotation> </semantics> </math></span><img src="https://wikimedia.org/api/rest_v1/media/math/render/svg/403e444add3c88af9a7d1d2b53a00e6b0f0184a9" class="mwe-math-fallback-image-inline mw-invert skin-invert" aria-hidden="true" style="vertical-align: -0.838ex; width:27.269ex; height:2.843ex;" alt="{\textstyle \mu (t)+\phi (t-t_{1})+\phi (t-t_{2})}"></span> and so on.<sup id="cite_ref-2" class="reference"><a href="#cite_note-2"><span class="cite-bracket">[</span>2<span class="cite-bracket">]</span></a></sup> </p><p>During the time interval <span class="mwe-math-element"><span class="mwe-math-mathml-inline mwe-math-mathml-a11y" style="display: none;"><math xmlns="http://www.w3.org/1998/Math/MathML" alttext="{\textstyle (t_{k},t_{k+1})}"> <semantics> <mrow class="MJX-TeXAtom-ORD"> <mstyle displaystyle="false" scriptlevel="0"> <mo stretchy="false">(</mo> <msub> <mi>t</mi> <mrow class="MJX-TeXAtom-ORD"> <mi>k</mi> </mrow> </msub> <mo>,</mo> <msub> <mi>t</mi> <mrow class="MJX-TeXAtom-ORD"> <mi>k</mi> <mo>+</mo> <mn>1</mn> </mrow> </msub> <mo stretchy="false">)</mo> </mstyle> </mrow> <annotation encoding="application/x-tex">{\textstyle (t_{k},t_{k+1})}</annotation> </semantics> </math></span><img src="https://wikimedia.org/api/rest_v1/media/math/render/svg/a7f46469df211cf1f244f4c50e602595e51a29d7" class="mwe-math-fallback-image-inline mw-invert skin-invert" aria-hidden="true" style="vertical-align: -0.838ex; width:8.8ex; height:2.843ex;" alt="{\textstyle (t_{k},t_{k+1})}"></span>, the process is the sum of <span class="mwe-math-element"><span class="mwe-math-mathml-inline mwe-math-mathml-a11y" style="display: none;"><math xmlns="http://www.w3.org/1998/Math/MathML" alttext="{\textstyle k+1}"> <semantics> <mrow class="MJX-TeXAtom-ORD"> <mstyle displaystyle="false" scriptlevel="0"> <mi>k</mi> <mo>+</mo> <mn>1</mn> </mstyle> </mrow> <annotation encoding="application/x-tex">{\textstyle k+1}</annotation> </semantics> </math></span><img src="https://wikimedia.org/api/rest_v1/media/math/render/svg/a2329c3536d3f8e618dfb1984d2bf49a0c9463cd" class="mwe-math-fallback-image-inline mw-invert skin-invert" aria-hidden="true" style="vertical-align: -0.505ex; width:5.214ex; height:2.343ex;" alt="{\textstyle k+1}"></span> independent processes with intensities <span class="mwe-math-element"><span class="mwe-math-mathml-inline mwe-math-mathml-a11y" style="display: none;"><math xmlns="http://www.w3.org/1998/Math/MathML" alttext="{\textstyle \mu (t),\phi (t-t_{1}),\ldots ,\phi (t-t_{k}).}"> <semantics> <mrow class="MJX-TeXAtom-ORD"> <mstyle displaystyle="false" scriptlevel="0"> <mi>μ</mi> <mo stretchy="false">(</mo> <mi>t</mi> <mo stretchy="false">)</mo> <mo>,</mo> <mi>ϕ</mi> <mo stretchy="false">(</mo> <mi>t</mi> <mo>−</mo> <msub> <mi>t</mi> <mrow class="MJX-TeXAtom-ORD"> <mn>1</mn> </mrow> </msub> <mo stretchy="false">)</mo> <mo>,</mo> <mo>…</mo> <mo>,</mo> <mi>ϕ</mi> <mo stretchy="false">(</mo> <mi>t</mi> <mo>−</mo> <msub> <mi>t</mi> <mrow class="MJX-TeXAtom-ORD"> <mi>k</mi> </mrow> </msub> <mo stretchy="false">)</mo> <mo>.</mo> </mstyle> </mrow> <annotation encoding="application/x-tex">{\textstyle \mu (t),\phi (t-t_{1}),\ldots ,\phi (t-t_{k}).}</annotation> </semantics> </math></span><img src="https://wikimedia.org/api/rest_v1/media/math/render/svg/7416c269e8a3bec9f11c0649d495ed95ac27bd1c" class="mwe-math-fallback-image-inline mw-invert skin-invert" aria-hidden="true" style="vertical-align: -0.838ex; width:28.481ex; height:2.843ex;" alt="{\textstyle \mu (t),\phi (t-t_{1}),\ldots ,\phi (t-t_{k}).}"></span> The arrivals in the process whose intensity is <span class="mwe-math-element"><span class="mwe-math-mathml-inline mwe-math-mathml-a11y" style="display: none;"><math xmlns="http://www.w3.org/1998/Math/MathML" alttext="{\textstyle \phi (t-t_{k})}"> <semantics> <mrow class="MJX-TeXAtom-ORD"> <mstyle displaystyle="false" scriptlevel="0"> <mi>ϕ</mi> <mo stretchy="false">(</mo> <mi>t</mi> <mo>−</mo> <msub> <mi>t</mi> <mrow class="MJX-TeXAtom-ORD"> <mi>k</mi> </mrow> </msub> <mo stretchy="false">)</mo> </mstyle> </mrow> <annotation encoding="application/x-tex">{\textstyle \phi (t-t_{k})}</annotation> </semantics> </math></span><img src="https://wikimedia.org/api/rest_v1/media/math/render/svg/5513c94f0c18418fbf240867c3ff41f3279f7ef6" class="mwe-math-fallback-image-inline mw-invert skin-invert" aria-hidden="true" style="vertical-align: -0.838ex; width:8.803ex; height:2.843ex;" alt="{\textstyle \phi (t-t_{k})}"></span> are the "daughters" of the arrival at time <span class="mwe-math-element"><span class="mwe-math-mathml-inline mwe-math-mathml-a11y" style="display: none;"><math xmlns="http://www.w3.org/1998/Math/MathML" alttext="{\textstyle t_{k}.}"> <semantics> <mrow class="MJX-TeXAtom-ORD"> <mstyle displaystyle="false" scriptlevel="0"> <msub> <mi>t</mi> <mrow class="MJX-TeXAtom-ORD"> <mi>k</mi> </mrow> </msub> <mo>.</mo> </mstyle> </mrow> <annotation encoding="application/x-tex">{\textstyle t_{k}.}</annotation> </semantics> </math></span><img src="https://wikimedia.org/api/rest_v1/media/math/render/svg/25806c2e7e174c00cfaa519532ff98ff8cdfb247" class="mwe-math-fallback-image-inline mw-invert skin-invert" aria-hidden="true" style="vertical-align: -0.671ex; width:2.575ex; height:2.343ex;" alt="{\textstyle t_{k}.}"></span> The integral <span class="mwe-math-element"><span class="mwe-math-mathml-inline mwe-math-mathml-a11y" style="display: none;"><math xmlns="http://www.w3.org/1998/Math/MathML" alttext="{\displaystyle \int _{0}^{\infty }\phi (t)\,dt}"> <semantics> <mrow class="MJX-TeXAtom-ORD"> <mstyle displaystyle="true" scriptlevel="0"> <msubsup> <mo>∫</mo> <mrow class="MJX-TeXAtom-ORD"> <mn>0</mn> </mrow> <mrow class="MJX-TeXAtom-ORD"> <mi mathvariant="normal">∞</mi> </mrow> </msubsup> <mi>ϕ</mi> <mo stretchy="false">(</mo> <mi>t</mi> <mo stretchy="false">)</mo> <mspace width="thinmathspace" /> <mi>d</mi> <mi>t</mi> </mstyle> </mrow> <annotation encoding="application/x-tex">{\displaystyle \int _{0}^{\infty }\phi (t)\,dt}</annotation> </semantics> </math></span><img src="https://wikimedia.org/api/rest_v1/media/math/render/svg/7d45bb52881bb5af4bf707901e6852b3e3da50bc" class="mwe-math-fallback-image-inline mw-invert skin-invert" aria-hidden="true" style="vertical-align: -2.338ex; width:11.204ex; height:5.843ex;" alt="{\displaystyle \int _{0}^{\infty }\phi (t)\,dt}"></span> is the average number of daughters of each arrival and is called the <i>branching ratio</i>. Thus viewing some arrivals as descendants of earlier arrivals, we have a <a href="/wiki/Galton%E2%80%93Watson_process" title="Galton–Watson process">Galton–Watson branching process</a>. The number of such descendants is finite with probability 1 if branching ratio is 1 or less. If the branching ratio is more than 1, then each arrival has positive probability of having infinitely many descendants. </p> <meta property="mw:PageProp/toc" /> <div class="mw-heading mw-heading2"><h2 id="Applications">Applications</h2><span class="mw-editsection"><span class="mw-editsection-bracket">[</span><a href="/w/index.php?title=Hawkes_process&action=edit&section=1" title="Edit section: Applications"><span>edit</span></a><span class="mw-editsection-bracket">]</span></span></div> <p>Hawkes processes are used for statistical modeling of events in <a href="/wiki/Mathematical_finance" title="Mathematical finance">mathematical finance</a>,<sup id="cite_ref-3" class="reference"><a href="#cite_note-3"><span class="cite-bracket">[</span>3<span class="cite-bracket">]</span></a></sup> <a href="/wiki/Epidemiology" title="Epidemiology">epidemiology</a>,<sup id="cite_ref-4" class="reference"><a href="#cite_note-4"><span class="cite-bracket">[</span>4<span class="cite-bracket">]</span></a></sup> earthquake <a href="/wiki/Seismology" title="Seismology">seismology</a>,<sup id="cite_ref-5" class="reference"><a href="#cite_note-5"><span class="cite-bracket">[</span>5<span class="cite-bracket">]</span></a></sup> and other fields in which a random event exhibits self-exciting behavior.<sup id="cite_ref-6" class="reference"><a href="#cite_note-6"><span class="cite-bracket">[</span>6<span class="cite-bracket">]</span></a></sup><sup id="cite_ref-7" class="reference"><a href="#cite_note-7"><span class="cite-bracket">[</span>7<span class="cite-bracket">]</span></a></sup> </p> <div class="mw-heading mw-heading2"><h2 id="See_also">See also</h2><span class="mw-editsection"><span class="mw-editsection-bracket">[</span><a href="/w/index.php?title=Hawkes_process&action=edit&section=2" title="Edit section: See also"><span>edit</span></a><span class="mw-editsection-bracket">]</span></span></div> <ul><li><a href="/wiki/Point_process" title="Point process">Point process</a></li> <li><a href="/wiki/Self-oscillation" title="Self-oscillation">Self-oscillation</a></li></ul> <div class="mw-heading mw-heading2"><h2 id="References">References</h2><span class="mw-editsection"><span class="mw-editsection-bracket">[</span><a href="/w/index.php?title=Hawkes_process&action=edit&section=3" title="Edit section: References"><span>edit</span></a><span class="mw-editsection-bracket">]</span></span></div> <div class="mw-references-wrap"><ol class="references"> <li id="cite_note-1"><span class="mw-cite-backlink"><b><a href="#cite_ref-1">^</a></b></span> <span class="reference-text"><style data-mw-deduplicate="TemplateStyles:r1238218222">.mw-parser-output cite.citation{font-style:inherit;word-wrap:break-word}.mw-parser-output .citation q{quotes:"\"""\"""'""'"}.mw-parser-output .citation:target{background-color:rgba(0,127,255,0.133)}.mw-parser-output .id-lock-free.id-lock-free a{background:url("//upload.wikimedia.org/wikipedia/commons/6/65/Lock-green.svg")right 0.1em center/9px no-repeat}.mw-parser-output .id-lock-limited.id-lock-limited a,.mw-parser-output .id-lock-registration.id-lock-registration a{background:url("//upload.wikimedia.org/wikipedia/commons/d/d6/Lock-gray-alt-2.svg")right 0.1em center/9px no-repeat}.mw-parser-output .id-lock-subscription.id-lock-subscription a{background:url("//upload.wikimedia.org/wikipedia/commons/a/aa/Lock-red-alt-2.svg")right 0.1em center/9px no-repeat}.mw-parser-output .cs1-ws-icon a{background:url("//upload.wikimedia.org/wikipedia/commons/4/4c/Wikisource-logo.svg")right 0.1em center/12px no-repeat}body:not(.skin-timeless):not(.skin-minerva) .mw-parser-output .id-lock-free a,body:not(.skin-timeless):not(.skin-minerva) .mw-parser-output .id-lock-limited a,body:not(.skin-timeless):not(.skin-minerva) .mw-parser-output .id-lock-registration a,body:not(.skin-timeless):not(.skin-minerva) .mw-parser-output .id-lock-subscription a,body:not(.skin-timeless):not(.skin-minerva) .mw-parser-output .cs1-ws-icon a{background-size:contain;padding:0 1em 0 0}.mw-parser-output .cs1-code{color:inherit;background:inherit;border:none;padding:inherit}.mw-parser-output .cs1-hidden-error{display:none;color:var(--color-error,#d33)}.mw-parser-output .cs1-visible-error{color:var(--color-error,#d33)}.mw-parser-output .cs1-maint{display:none;color:#085;margin-left:0.3em}.mw-parser-output .cs1-kern-left{padding-left:0.2em}.mw-parser-output .cs1-kern-right{padding-right:0.2em}.mw-parser-output .citation .mw-selflink{font-weight:inherit}@media screen{.mw-parser-output .cs1-format{font-size:95%}html.skin-theme-clientpref-night .mw-parser-output .cs1-maint{color:#18911f}}@media screen and (prefers-color-scheme:dark){html.skin-theme-clientpref-os .mw-parser-output .cs1-maint{color:#18911f}}</style><cite id="CITEREFLaubLeeTaimre2021" class="citation book cs1">Laub, Patrick J.; 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(2018). <a rel="nofollow" class="external text" href="https://doi.org/10.1080/14697688.2017.1403131">"Hawkes processes and their applications to finance: a review"</a>. <i>Quantitative Finance</i>. <b>18</b> (2): <span class="nowrap">193–</span>198. <a href="/wiki/Doi_(identifier)" class="mw-redirect" title="Doi (identifier)">doi</a>:<a rel="nofollow" class="external text" href="https://doi.org/10.1080%2F14697688.2017.1403131">10.1080/14697688.2017.1403131</a>. <a href="/wiki/ISSN_(identifier)" class="mw-redirect" title="ISSN (identifier)">ISSN</a> <a rel="nofollow" class="external text" href="https://search.worldcat.org/issn/1469-7688">1469-7688</a>. <a href="/wiki/S2CID_(identifier)" class="mw-redirect" title="S2CID (identifier)">S2CID</a> <a rel="nofollow" class="external text" href="https://api.semanticscholar.org/CorpusID:158619662">158619662</a>.</cite><span title="ctx_ver=Z39.88-2004&rft_val_fmt=info%3Aofi%2Ffmt%3Akev%3Amtx%3Ajournal&rft.genre=article&rft.jtitle=Quantitative+Finance&rft.atitle=Hawkes+processes+and+their+applications+to+finance%3A+a+review&rft.volume=18&rft.issue=2&rft.pages=%3Cspan+class%3D%22nowrap%22%3E193-%3C%2Fspan%3E198&rft.date=2018&rft_id=https%3A%2F%2Fapi.semanticscholar.org%2FCorpusID%3A158619662%23id-name%3DS2CID&rft.issn=1469-7688&rft_id=info%3Adoi%2F10.1080%2F14697688.2017.1403131&rft.aulast=Hawkes&rft.aufirst=Alan+G.&rft_id=https%3A%2F%2Fdoi.org%2F10.1080%2F14697688.2017.1403131&rfr_id=info%3Asid%2Fen.wikipedia.org%3AHawkes+process" class="Z3988"></span></span> </li> <li id="cite_note-4"><span class="mw-cite-backlink"><b><a href="#cite_ref-4">^</a></b></span> <span class="reference-text"><link rel="mw-deduplicated-inline-style" href="mw-data:TemplateStyles:r1238218222"><cite id="CITEREFRizoiuMishraKongCarman2018" class="citation book cs1">Rizoiu, Marian-Andrei; Mishra, Swapnil; Kong, Quyu; Carman, Mark; Xie, Lexing (2018). "SIR-Hawkes: Linking Epidemic Models and Hawkes Processes to Model Diffusions in Finite Populations". <i>Proceedings of the 2018 World Wide Web Conference on World Wide Web - WWW '18</i>. pp. <span class="nowrap">419–</span>428. <a href="/wiki/ArXiv_(identifier)" class="mw-redirect" title="ArXiv (identifier)">arXiv</a>:<span class="id-lock-free" title="Freely accessible"><a rel="nofollow" class="external text" href="https://arxiv.org/abs/1711.01679">1711.01679</a></span>. <a href="/wiki/Doi_(identifier)" class="mw-redirect" title="Doi (identifier)">doi</a>:<a rel="nofollow" class="external text" href="https://doi.org/10.1145%2F3178876.3186108">10.1145/3178876.3186108</a>. <a href="/wiki/S2CID_(identifier)" class="mw-redirect" title="S2CID (identifier)">S2CID</a> <a rel="nofollow" class="external text" href="https://api.semanticscholar.org/CorpusID:195346881">195346881</a>.</cite><span title="ctx_ver=Z39.88-2004&rft_val_fmt=info%3Aofi%2Ffmt%3Akev%3Amtx%3Abook&rft.genre=bookitem&rft.atitle=SIR-Hawkes%3A+Linking+Epidemic+Models+and+Hawkes+Processes+to+Model+Diffusions+in+Finite+Populations&rft.btitle=Proceedings+of+the+2018+World+Wide+Web+Conference+on+World+Wide+Web+-+WWW+%2718&rft.pages=%3Cspan+class%3D%22nowrap%22%3E419-%3C%2Fspan%3E428&rft.date=2018&rft_id=info%3Aarxiv%2F1711.01679&rft_id=https%3A%2F%2Fapi.semanticscholar.org%2FCorpusID%3A195346881%23id-name%3DS2CID&rft_id=info%3Adoi%2F10.1145%2F3178876.3186108&rft.aulast=Rizoiu&rft.aufirst=Marian-Andrei&rft.au=Mishra%2C+Swapnil&rft.au=Kong%2C+Quyu&rft.au=Carman%2C+Mark&rft.au=Xie%2C+Lexing&rfr_id=info%3Asid%2Fen.wikipedia.org%3AHawkes+process" class="Z3988"></span></span> </li> <li id="cite_note-5"><span class="mw-cite-backlink"><b><a href="#cite_ref-5">^</a></b></span> <span class="reference-text"><link rel="mw-deduplicated-inline-style" href="mw-data:TemplateStyles:r1238218222"><cite id="CITEREFKwonZhengJun2023" class="citation journal cs1">Kwon, Junhyeon; Zheng, Yingcai; Jun, Mikyoung (2023). <a rel="nofollow" class="external text" href="https://doi.org/10.1016/j.spasta.2023.100728">"Flexible spatio-temporal Hawkes process models for earthquake occurrences"</a>. <i>Spatial Statistics</i>. <b>54</b>: 100728. <a href="/wiki/ArXiv_(identifier)" class="mw-redirect" title="ArXiv (identifier)">arXiv</a>:<span class="id-lock-free" title="Freely accessible"><a rel="nofollow" class="external text" href="https://arxiv.org/abs/2210.08053">2210.08053</a></span>. <a href="/wiki/Bibcode_(identifier)" class="mw-redirect" title="Bibcode (identifier)">Bibcode</a>:<a rel="nofollow" class="external text" href="https://ui.adsabs.harvard.edu/abs/2023SpaSt..5400728K">2023SpaSt..5400728K</a>. <a href="/wiki/Doi_(identifier)" class="mw-redirect" title="Doi (identifier)">doi</a>:<a rel="nofollow" class="external text" href="https://doi.org/10.1016%2Fj.spasta.2023.100728">10.1016/j.spasta.2023.100728</a>. <a href="/wiki/S2CID_(identifier)" class="mw-redirect" title="S2CID (identifier)">S2CID</a> <a rel="nofollow" class="external text" href="https://api.semanticscholar.org/CorpusID:252917746">252917746</a>.</cite><span title="ctx_ver=Z39.88-2004&rft_val_fmt=info%3Aofi%2Ffmt%3Akev%3Amtx%3Ajournal&rft.genre=article&rft.jtitle=Spatial+Statistics&rft.atitle=Flexible+spatio-temporal+Hawkes+process+models+for+earthquake+occurrences&rft.volume=54&rft.pages=100728&rft.date=2023&rft_id=info%3Aarxiv%2F2210.08053&rft_id=https%3A%2F%2Fapi.semanticscholar.org%2FCorpusID%3A252917746%23id-name%3DS2CID&rft_id=info%3Adoi%2F10.1016%2Fj.spasta.2023.100728&rft_id=info%3Abibcode%2F2023SpaSt..5400728K&rft.aulast=Kwon&rft.aufirst=Junhyeon&rft.au=Zheng%2C+Yingcai&rft.au=Jun%2C+Mikyoung&rft_id=https%3A%2F%2Fdoi.org%2F10.1016%2Fj.spasta.2023.100728&rfr_id=info%3Asid%2Fen.wikipedia.org%3AHawkes+process" class="Z3988"></span></span> </li> <li id="cite_note-6"><span class="mw-cite-backlink"><b><a href="#cite_ref-6">^</a></b></span> <span class="reference-text"><link rel="mw-deduplicated-inline-style" href="mw-data:TemplateStyles:r1238218222"><cite id="CITEREFTenchFryGill2016" class="citation journal cs1">Tench, Stephen; Fry, Hannah; Gill, Paul (2016). <a rel="nofollow" class="external text" href="https://www.cambridge.org/core/journals/european-journal-of-applied-mathematics/article/abs/spatiotemporal-patterns-of-ied-usage-by-the-provisional-irish-republican-army/3BC0D8552313F1BC893D5F6519079BB8">"Spatio-temporal patterns of IED usage by the Provisional Irish Republican Army"</a>. <i>European Journal of Applied Mathematics</i>. <b>27</b> (3): <span class="nowrap">377–</span>402. <a href="/wiki/Doi_(identifier)" class="mw-redirect" title="Doi (identifier)">doi</a>:<a rel="nofollow" class="external text" href="https://doi.org/10.1017%2FS0956792515000686">10.1017/S0956792515000686</a>. <a href="/wiki/ISSN_(identifier)" class="mw-redirect" title="ISSN (identifier)">ISSN</a> <a rel="nofollow" class="external text" href="https://search.worldcat.org/issn/0956-7925">0956-7925</a>. <a href="/wiki/S2CID_(identifier)" class="mw-redirect" title="S2CID (identifier)">S2CID</a> <a rel="nofollow" class="external text" href="https://api.semanticscholar.org/CorpusID:53692006">53692006</a>.</cite><span title="ctx_ver=Z39.88-2004&rft_val_fmt=info%3Aofi%2Ffmt%3Akev%3Amtx%3Ajournal&rft.genre=article&rft.jtitle=European+Journal+of+Applied+Mathematics&rft.atitle=Spatio-temporal+patterns+of+IED+usage+by+the+Provisional+Irish+Republican+Army&rft.volume=27&rft.issue=3&rft.pages=%3Cspan+class%3D%22nowrap%22%3E377-%3C%2Fspan%3E402&rft.date=2016&rft_id=https%3A%2F%2Fapi.semanticscholar.org%2FCorpusID%3A53692006%23id-name%3DS2CID&rft.issn=0956-7925&rft_id=info%3Adoi%2F10.1017%2FS0956792515000686&rft.aulast=Tench&rft.aufirst=Stephen&rft.au=Fry%2C+Hannah&rft.au=Gill%2C+Paul&rft_id=https%3A%2F%2Fwww.cambridge.org%2Fcore%2Fjournals%2Feuropean-journal-of-applied-mathematics%2Farticle%2Fabs%2Fspatiotemporal-patterns-of-ied-usage-by-the-provisional-irish-republican-army%2F3BC0D8552313F1BC893D5F6519079BB8&rfr_id=info%3Asid%2Fen.wikipedia.org%3AHawkes+process" class="Z3988"></span></span> </li> <li id="cite_note-7"><span class="mw-cite-backlink"><b><a href="#cite_ref-7">^</a></b></span> <span class="reference-text"><link rel="mw-deduplicated-inline-style" href="mw-data:TemplateStyles:r1238218222"><cite id="CITEREFLaubTaimrePollett2015" class="citation arxiv cs1">Laub, Patrick J.; Taimre, Thomas; Pollett, Philip K. (2015). "Hawkes Processes". <a href="/wiki/ArXiv_(identifier)" class="mw-redirect" title="ArXiv (identifier)">arXiv</a>:<span class="id-lock-free" title="Freely accessible"><a rel="nofollow" class="external text" href="https://arxiv.org/abs/1507.02822">1507.02822</a></span> [<a rel="nofollow" class="external text" href="https://arxiv.org/archive/math.PR">math.PR</a>].</cite><span title="ctx_ver=Z39.88-2004&rft_val_fmt=info%3Aofi%2Ffmt%3Akev%3Amtx%3Ajournal&rft.genre=preprint&rft.jtitle=arXiv&rft.atitle=Hawkes+Processes&rft.date=2015&rft_id=info%3Aarxiv%2F1507.02822&rft.aulast=Laub&rft.aufirst=Patrick+J.&rft.au=Taimre%2C+Thomas&rft.au=Pollett%2C+Philip+K.&rfr_id=info%3Asid%2Fen.wikipedia.org%3AHawkes+process" class="Z3988"></span></span> </li> </ol></div> <div class="mw-heading mw-heading2"><h2 id="Further_reading">Further reading</h2><span class="mw-editsection"><span class="mw-editsection-bracket">[</span><a href="/w/index.php?title=Hawkes_process&action=edit&section=4" title="Edit section: Further reading"><span>edit</span></a><span class="mw-editsection-bracket">]</span></span></div> <ul><li><link rel="mw-deduplicated-inline-style" href="mw-data:TemplateStyles:r1238218222"><cite id="CITEREFBacryMastromatteoMuzy2015" class="citation arxiv cs1">Bacry, Emmanuel; Mastromatteo, Iacopo; Muzy, Jean-François (2015). "Hawkes processes in finance". <a href="/wiki/ArXiv_(identifier)" class="mw-redirect" title="ArXiv (identifier)">arXiv</a>:<span class="id-lock-free" title="Freely accessible"><a rel="nofollow" class="external text" href="https://arxiv.org/abs/1502.04592">1502.04592</a></span> [<a rel="nofollow" class="external text" href="https://arxiv.org/archive/q-fin.TR">q-fin.TR</a>].</cite><span title="ctx_ver=Z39.88-2004&rft_val_fmt=info%3Aofi%2Ffmt%3Akev%3Amtx%3Ajournal&rft.genre=preprint&rft.jtitle=arXiv&rft.atitle=Hawkes+processes+in+finance&rft.date=2015&rft_id=info%3Aarxiv%2F1502.04592&rft.aulast=Bacry&rft.aufirst=Emmanuel&rft.au=Mastromatteo%2C+Iacopo&rft.au=Muzy%2C+Jean-Fran%C3%A7ois&rfr_id=info%3Asid%2Fen.wikipedia.org%3AHawkes+process" class="Z3988"></span></li> <li><link rel="mw-deduplicated-inline-style" href="mw-data:TemplateStyles:r1238218222"><cite id="CITEREFRizoiuLeeMishraXie2017" class="citation arxiv cs1">Rizoiu, Marian-Andrei; Lee, Young; Mishra, Swapnil; Xie, Lexing (2017). "A Tutorial on Hawkes Processes for Events in Social Media". <a href="/wiki/ArXiv_(identifier)" class="mw-redirect" title="ArXiv (identifier)">arXiv</a>:<span class="id-lock-free" title="Freely accessible"><a rel="nofollow" class="external text" href="https://arxiv.org/abs/1708.06401">1708.06401</a></span> [<a rel="nofollow" class="external text" href="https://arxiv.org/archive/stat.ML">stat.ML</a>].</cite><span title="ctx_ver=Z39.88-2004&rft_val_fmt=info%3Aofi%2Ffmt%3Akev%3Amtx%3Ajournal&rft.genre=preprint&rft.jtitle=arXiv&rft.atitle=A+Tutorial+on+Hawkes+Processes+for+Events+in+Social+Media&rft.date=2017&rft_id=info%3Aarxiv%2F1708.06401&rft.aulast=Rizoiu&rft.aufirst=Marian-Andrei&rft.au=Lee%2C+Young&rft.au=Mishra%2C+Swapnil&rft.au=Xie%2C+Lexing&rfr_id=info%3Asid%2Fen.wikipedia.org%3AHawkes+process" class="Z3988"></span></li></ul> <div class="navbox-styles"><style data-mw-deduplicate="TemplateStyles:r1129693374">.mw-parser-output .hlist dl,.mw-parser-output .hlist ol,.mw-parser-output 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href="/wiki/Loop-erased_random_walk" title="Loop-erased random walk">Loop-erased</a></li> <li><a href="/wiki/Self-avoiding_walk" title="Self-avoiding walk">Self-avoiding</a></li> <li><a href="/wiki/Biased_random_walk_on_a_graph" title="Biased random walk on a graph"> Biased</a></li> <li><a href="/wiki/Maximal_entropy_random_walk" title="Maximal entropy random walk">Maximal entropy</a></li></ul></li></ul> </div></td></tr><tr><th scope="row" class="navbox-group" style="width:1%"><a href="/wiki/Continuous-time_stochastic_process" title="Continuous-time stochastic process">Continuous time</a></th><td class="navbox-list-with-group navbox-list navbox-even hlist" style="width:100%;padding:0"><div style="padding:0 0.25em"> <ul><li><a href="/wiki/Additive_process" title="Additive process">Additive process</a></li> <li><a href="/wiki/Bessel_process" title="Bessel process">Bessel process</a></li> <li><a href="/wiki/Birth%E2%80%93death_process" title="Birth–death process">Birth–death process</a> <ul><li><a href="/wiki/Birth_process" title="Birth process">pure birth</a></li></ul></li> <li><a href="/wiki/Wiener_process" title="Wiener process">Brownian motion</a> <ul><li><a href="/wiki/Brownian_bridge" title="Brownian bridge">Bridge</a></li> <li><a href="/wiki/Brownian_excursion" title="Brownian excursion">Excursion</a></li> <li><a href="/wiki/Fractional_Brownian_motion" title="Fractional Brownian motion">Fractional</a></li> <li><a href="/wiki/Geometric_Brownian_motion" title="Geometric Brownian motion">Geometric</a></li> <li><a href="/wiki/Brownian_meander" title="Brownian meander">Meander</a></li></ul></li> <li><a href="/wiki/Cauchy_process" title="Cauchy process">Cauchy process</a></li> <li><a href="/wiki/Contact_process_(mathematics)" title="Contact process (mathematics)">Contact process</a></li> <li><a href="/wiki/Continuous-time_random_walk" title="Continuous-time random walk">Continuous-time random walk</a></li> <li><a href="/wiki/Cox_process" title="Cox process">Cox process</a></li> <li><a href="/wiki/Diffusion_process" title="Diffusion process">Diffusion process</a></li> <li><a href="/wiki/Dyson_Brownian_motion" title="Dyson Brownian motion">Dyson Brownian motion</a></li> <li><a href="/wiki/Empirical_process" title="Empirical process">Empirical process</a></li> <li><a href="/wiki/Feller_process" title="Feller process">Feller process</a></li> <li><a href="/wiki/Fleming%E2%80%93Viot_process" title="Fleming–Viot process">Fleming–Viot process</a></li> <li><a href="/wiki/Gamma_process" title="Gamma process">Gamma process</a></li> <li><a href="/wiki/Geometric_process" title="Geometric process">Geometric process</a></li> <li><a class="mw-selflink selflink">Hawkes process</a></li> <li><a href="/wiki/Hunt_process" title="Hunt process">Hunt process</a></li> <li><a href="/wiki/Interacting_particle_system" title="Interacting particle system">Interacting particle systems</a></li> <li><a href="/wiki/It%C3%B4_diffusion" title="Itô diffusion">Itô diffusion</a></li> <li><a href="/wiki/It%C3%B4_process" class="mw-redirect" title="Itô process">Itô process</a></li> <li><a href="/wiki/Jump_diffusion" title="Jump diffusion">Jump diffusion</a></li> <li><a href="/wiki/Jump_process" title="Jump process">Jump process</a></li> <li><a href="/wiki/L%C3%A9vy_process" title="Lévy process">Lévy process</a></li> <li><a href="/wiki/Local_time_(mathematics)" title="Local time (mathematics)">Local time</a></li> <li><a href="/wiki/Markov_additive_process" title="Markov additive process">Markov additive process</a></li> <li><a href="/wiki/McKean%E2%80%93Vlasov_process" title="McKean–Vlasov process">McKean–Vlasov process</a></li> <li><a href="/wiki/Ornstein%E2%80%93Uhlenbeck_process" title="Ornstein–Uhlenbeck process">Ornstein–Uhlenbeck process</a></li> <li><a href="/wiki/Poisson_point_process" title="Poisson point process">Poisson process</a> <ul><li><a href="/wiki/Compound_Poisson_process" title="Compound Poisson process">Compound</a></li> <li><a href="/wiki/Non-homogeneous_Poisson_process" class="mw-redirect" title="Non-homogeneous Poisson process">Non-homogeneous</a></li></ul></li> <li><a href="/wiki/Schramm%E2%80%93Loewner_evolution" title="Schramm–Loewner evolution">Schramm–Loewner evolution</a></li> <li><a href="/wiki/Semimartingale" title="Semimartingale">Semimartingale</a></li> <li><a href="/wiki/Sigma-martingale" title="Sigma-martingale">Sigma-martingale</a></li> <li><a href="/wiki/Stable_process" title="Stable process">Stable process</a></li> <li><a href="/wiki/Superprocess" title="Superprocess">Superprocess</a></li> <li><a href="/wiki/Telegraph_process" title="Telegraph process">Telegraph process</a></li> <li><a href="/wiki/Variance_gamma_process" title="Variance gamma process">Variance gamma process</a></li> <li><a href="/wiki/Wiener_process" title="Wiener process">Wiener process</a></li> <li><a href="/wiki/Wiener_sausage" title="Wiener sausage">Wiener sausage</a></li></ul> </div></td></tr><tr><th scope="row" class="navbox-group" style="width:1%">Both</th><td class="navbox-list-with-group navbox-list navbox-odd hlist" style="width:100%;padding:0"><div style="padding:0 0.25em"> <ul><li><a href="/wiki/Branching_process" title="Branching process">Branching process</a></li> <li><a href="/wiki/Gaussian_process" title="Gaussian process">Gaussian process</a></li> <li><a href="/wiki/Hidden_Markov_model" title="Hidden Markov model">Hidden Markov model (HMM)</a></li> <li><a href="/wiki/Markov_process" class="mw-redirect" title="Markov process">Markov process</a></li> <li><a href="/wiki/Martingale_(probability_theory)" title="Martingale (probability theory)">Martingale</a> <ul><li><a href="/wiki/Martingale_difference_sequence" title="Martingale difference sequence">Differences</a></li> <li><a href="/wiki/Local_martingale" title="Local martingale">Local</a></li> <li><a href="/wiki/Submartingale" class="mw-redirect" title="Submartingale">Sub-</a></li> <li><a href="/wiki/Supermartingale" class="mw-redirect" title="Supermartingale">Super-</a></li></ul></li> <li><a href="/wiki/Random_dynamical_system" title="Random dynamical system">Random dynamical system</a></li> <li><a href="/wiki/Regenerative_process" title="Regenerative process">Regenerative process</a></li> <li><a href="/wiki/Renewal_process" class="mw-redirect" title="Renewal process">Renewal process</a></li> <li><a href="/wiki/Stochastic_chains_with_memory_of_variable_length" title="Stochastic chains with memory of variable length">Stochastic chains with memory of variable length</a></li> <li><a href="/wiki/White_noise" title="White noise">White noise</a></li></ul> </div></td></tr><tr><th scope="row" class="navbox-group" style="width:1%">Fields and other</th><td class="navbox-list-with-group navbox-list navbox-even hlist" style="width:100%;padding:0"><div style="padding:0 0.25em"> <ul><li><a href="/wiki/Dirichlet_process" title="Dirichlet process">Dirichlet process</a></li> <li><a href="/wiki/Gaussian_random_field" title="Gaussian random field">Gaussian random field</a></li> <li><a href="/wiki/Gibbs_measure" title="Gibbs measure">Gibbs measure</a></li> <li><a href="/wiki/Hopfield_model" class="mw-redirect" title="Hopfield model">Hopfield model</a></li> <li><a href="/wiki/Ising_model" title="Ising model">Ising model</a> <ul><li><a href="/wiki/Potts_model" title="Potts model">Potts model</a></li> <li><a href="/wiki/Boolean_network" title="Boolean network">Boolean network</a></li></ul></li> <li><a href="/wiki/Markov_random_field" title="Markov random field">Markov random field</a></li> <li><a href="/wiki/Percolation_theory" title="Percolation theory">Percolation</a></li> <li><a href="/wiki/Pitman%E2%80%93Yor_process" title="Pitman–Yor process">Pitman–Yor process</a></li> <li><a href="/wiki/Point_process" title="Point process">Point process</a> <ul><li><a href="/wiki/Point_process#Cox_point_process" title="Point process">Cox</a></li> <li><a href="/wiki/Poisson_point_process" title="Poisson point process">Poisson</a></li></ul></li> <li><a href="/wiki/Random_field" title="Random field">Random field</a></li> <li><a href="/wiki/Random_graph" title="Random graph">Random graph</a></li></ul> </div></td></tr><tr><th scope="row" class="navbox-group" style="width:1%"><a href="/wiki/Time_series" title="Time series">Time series models</a></th><td class="navbox-list-with-group navbox-list navbox-odd hlist" style="width:100%;padding:0"><div style="padding:0 0.25em"> <ul><li><a href="/wiki/Autoregressive_conditional_heteroskedasticity" title="Autoregressive conditional heteroskedasticity">Autoregressive conditional heteroskedasticity (ARCH) model</a></li> <li><a href="/wiki/Autoregressive_integrated_moving_average" title="Autoregressive integrated moving average">Autoregressive integrated moving average (ARIMA) model</a></li> <li><a href="/wiki/Autoregressive_model" title="Autoregressive model">Autoregressive (AR) model</a></li> <li><a href="/wiki/Autoregressive%E2%80%93moving-average_model" class="mw-redirect" title="Autoregressive–moving-average model">Autoregressive–moving-average (ARMA) model</a></li> <li><a href="/wiki/Autoregressive_conditional_heteroskedasticity" title="Autoregressive conditional heteroskedasticity">Generalized autoregressive conditional heteroskedasticity (GARCH) model</a></li> <li><a href="/wiki/Moving-average_model" title="Moving-average model">Moving-average (MA) model</a></li></ul> </div></td></tr><tr><th scope="row" class="navbox-group" style="width:1%"><a href="/wiki/Asset_pricing_model" class="mw-redirect" title="Asset pricing model">Financial models</a></th><td class="navbox-list-with-group navbox-list navbox-even hlist" style="width:100%;padding:0"><div style="padding:0 0.25em"> <ul><li><a href="/wiki/Binomial_options_pricing_model" title="Binomial options pricing model">Binomial options pricing model</a></li> <li><a href="/wiki/Black%E2%80%93Derman%E2%80%93Toy_model" title="Black–Derman–Toy model">Black–Derman–Toy</a></li> <li><a href="/wiki/Black%E2%80%93Karasinski_model" title="Black–Karasinski model">Black–Karasinski</a></li> <li><a href="/wiki/Black%E2%80%93Scholes_model" title="Black–Scholes model">Black–Scholes</a></li> <li><a href="/wiki/Chan%E2%80%93Karolyi%E2%80%93Longstaff%E2%80%93Sanders_process" title="Chan–Karolyi–Longstaff–Sanders process">Chan–Karolyi–Longstaff–Sanders (CKLS)</a></li> <li><a href="/wiki/Chen_model" title="Chen model">Chen</a></li> <li><a href="/wiki/Constant_elasticity_of_variance_model" title="Constant elasticity of variance model">Constant elasticity of variance (CEV)</a></li> <li><a href="/wiki/Cox%E2%80%93Ingersoll%E2%80%93Ross_model" title="Cox–Ingersoll–Ross model">Cox–Ingersoll–Ross (CIR)</a></li> <li><a href="/wiki/Garman%E2%80%93Kohlhagen_model" class="mw-redirect" title="Garman–Kohlhagen model">Garman–Kohlhagen</a></li> <li><a href="/wiki/Heath%E2%80%93Jarrow%E2%80%93Morton_framework" title="Heath–Jarrow–Morton framework">Heath–Jarrow–Morton (HJM)</a></li> <li><a href="/wiki/Heston_model" title="Heston model">Heston</a></li> <li><a href="/wiki/Ho%E2%80%93Lee_model" title="Ho–Lee model">Ho–Lee</a></li> <li><a href="/wiki/Hull%E2%80%93White_model" title="Hull–White model">Hull–White</a></li> <li><a href="/wiki/Korn%E2%80%93Kreer%E2%80%93Lenssen_model" title="Korn–Kreer–Lenssen model">Korn-Kreer-Lenssen</a></li> <li><a href="/wiki/LIBOR_market_model" title="LIBOR market model">LIBOR market</a></li> <li><a href="/wiki/Rendleman%E2%80%93Bartter_model" title="Rendleman–Bartter model">Rendleman–Bartter</a></li> <li><a href="/wiki/SABR_volatility_model" title="SABR volatility model">SABR volatility</a></li> <li><a href="/wiki/Vasicek_model" title="Vasicek model">Vašíček</a></li> <li><a href="/wiki/Wilkie_investment_model" title="Wilkie investment model">Wilkie</a></li></ul> </div></td></tr><tr><th scope="row" class="navbox-group" style="width:1%"><a href="/wiki/Actuarial_mathematics" class="mw-redirect" title="Actuarial mathematics">Actuarial models</a></th><td class="navbox-list-with-group navbox-list navbox-odd hlist" style="width:100%;padding:0"><div style="padding:0 0.25em"> <ul><li><a href="/wiki/B%C3%BChlmann_model" title="Bühlmann model">Bühlmann</a></li> <li><a href="/wiki/Cram%C3%A9r%E2%80%93Lundberg_model" class="mw-redirect" title="Cramér–Lundberg model">Cramér–Lundberg</a></li> <li><a href="/wiki/Risk_process" class="mw-redirect" title="Risk process">Risk process</a></li> <li><a href="/wiki/Sparre%E2%80%93Anderson_model" class="mw-redirect" title="Sparre–Anderson model">Sparre–Anderson</a></li></ul> </div></td></tr><tr><th scope="row" class="navbox-group" style="width:1%"><a href="/wiki/Queueing_model" class="mw-redirect" title="Queueing model">Queueing models</a></th><td class="navbox-list-with-group navbox-list navbox-even hlist" style="width:100%;padding:0"><div style="padding:0 0.25em"> <ul><li><a href="/wiki/Bulk_queue" title="Bulk queue">Bulk</a></li> <li><a href="/wiki/Fluid_queue" title="Fluid queue">Fluid</a></li> <li><a href="/wiki/G-network" title="G-network">Generalized queueing network</a></li> <li><a href="/wiki/M/G/1_queue" title="M/G/1 queue">M/G/1</a></li> <li><a href="/wiki/M/M/1_queue" title="M/M/1 queue">M/M/1</a></li> <li><a href="/wiki/M/M/c_queue" title="M/M/c queue">M/M/c</a></li></ul> </div></td></tr><tr><th scope="row" class="navbox-group" style="width:1%">Properties</th><td class="navbox-list-with-group navbox-list navbox-odd hlist" style="width:100%;padding:0"><div style="padding:0 0.25em"> <ul><li><a href="/wiki/C%C3%A0dl%C3%A0g" title="Càdlàg">Càdlàg paths</a></li> <li><a href="/wiki/Continuous_stochastic_process" title="Continuous stochastic process">Continuous</a></li> <li><a href="/wiki/Sample-continuous_process" title="Sample-continuous process">Continuous paths</a></li> <li><a href="/wiki/Ergodicity" title="Ergodicity">Ergodic</a></li> <li><a href="/wiki/Exchangeable_random_variables" title="Exchangeable random variables">Exchangeable</a></li> <li><a href="/wiki/Feller-continuous_process" title="Feller-continuous process">Feller-continuous</a></li> <li><a href="/wiki/Gauss%E2%80%93Markov_process" title="Gauss–Markov process">Gauss–Markov</a></li> <li><a href="/wiki/Markov_property" title="Markov property">Markov</a></li> <li><a href="/wiki/Mixing_(mathematics)" title="Mixing (mathematics)">Mixing</a></li> <li><a href="/wiki/Piecewise-deterministic_Markov_process" title="Piecewise-deterministic Markov process">Piecewise-deterministic</a></li> <li><a href="/wiki/Predictable_process" title="Predictable process">Predictable</a></li> <li><a href="/wiki/Progressively_measurable_process" title="Progressively measurable process">Progressively measurable</a></li> <li><a href="/wiki/Self-similar_process" title="Self-similar process">Self-similar</a></li> <li><a href="/wiki/Stationary_process" title="Stationary process">Stationary</a></li> <li><a href="/wiki/Time_reversibility" title="Time reversibility">Time-reversible</a></li></ul> </div></td></tr><tr><th scope="row" class="navbox-group" style="width:1%">Limit theorems</th><td class="navbox-list-with-group navbox-list navbox-even hlist" style="width:100%;padding:0"><div style="padding:0 0.25em"> <ul><li><a href="/wiki/Central_limit_theorem" title="Central limit theorem">Central limit theorem</a></li> <li><a href="/wiki/Donsker%27s_theorem" title="Donsker's theorem">Donsker's theorem</a></li> <li><a href="/wiki/Doob%27s_martingale_convergence_theorems" title="Doob's martingale convergence theorems">Doob's martingale convergence theorems</a></li> <li><a href="/wiki/Ergodic_theorem" class="mw-redirect" title="Ergodic theorem">Ergodic theorem</a></li> <li><a href="/wiki/Fisher%E2%80%93Tippett%E2%80%93Gnedenko_theorem" title="Fisher–Tippett–Gnedenko theorem">Fisher–Tippett–Gnedenko theorem</a></li> <li><a href="/wiki/Large_deviation_principle" class="mw-redirect" title="Large deviation principle">Large deviation principle</a></li> <li><a href="/wiki/Law_of_large_numbers" title="Law of large numbers">Law of large numbers (weak/strong)</a></li> <li><a href="/wiki/Law_of_the_iterated_logarithm" title="Law of the iterated logarithm">Law of the iterated logarithm</a></li> <li><a href="/wiki/Maximal_ergodic_theorem" title="Maximal ergodic theorem">Maximal ergodic theorem</a></li> <li><a href="/wiki/Sanov%27s_theorem" title="Sanov's theorem">Sanov's theorem</a></li> <li><a href="/wiki/Zero%E2%80%93one_law" title="Zero–one law">Zero–one laws</a> (<a href="/wiki/Blumenthal%27s_zero%E2%80%93one_law" title="Blumenthal's zero–one law">Blumenthal</a>, <a href="/wiki/Borel%E2%80%93Cantelli_lemma" title="Borel–Cantelli lemma">Borel–Cantelli</a>, <a href="/wiki/Engelbert%E2%80%93Schmidt_zero%E2%80%93one_law" title="Engelbert–Schmidt zero–one law">Engelbert–Schmidt</a>, <a href="/wiki/Hewitt%E2%80%93Savage_zero%E2%80%93one_law" title="Hewitt–Savage zero–one law">Hewitt–Savage</a>, <a href="/wiki/Kolmogorov%27s_zero%E2%80%93one_law" title="Kolmogorov's zero–one law"> Kolmogorov</a>, <a href="/wiki/L%C3%A9vy%27s_zero%E2%80%93one_law" class="mw-redirect" title="Lévy's zero–one law">Lévy</a>)</li></ul> </div></td></tr><tr><th scope="row" class="navbox-group" style="width:1%"><a href="/wiki/List_of_inequalities#Probability_theory_and_statistics" title="List of inequalities">Inequalities</a></th><td class="navbox-list-with-group navbox-list navbox-odd hlist" style="width:100%;padding:0"><div style="padding:0 0.25em"> <ul><li><a href="/wiki/Burkholder%E2%80%93Davis%E2%80%93Gundy_inequalities" class="mw-redirect" title="Burkholder–Davis–Gundy inequalities">Burkholder–Davis–Gundy</a></li> <li><a href="/wiki/Doob%27s_martingale_inequality" title="Doob's martingale inequality">Doob's martingale</a></li> <li><a href="/wiki/Doob%27s_upcrossing_inequality" class="mw-redirect" title="Doob's upcrossing inequality">Doob's upcrossing</a></li> <li><a href="/wiki/Kunita%E2%80%93Watanabe_inequality" title="Kunita–Watanabe inequality">Kunita–Watanabe</a></li> <li><a href="/wiki/Marcinkiewicz%E2%80%93Zygmund_inequality" title="Marcinkiewicz–Zygmund inequality">Marcinkiewicz–Zygmund</a></li></ul> </div></td></tr><tr><th scope="row" class="navbox-group" style="width:1%">Tools</th><td class="navbox-list-with-group navbox-list navbox-even hlist" style="width:100%;padding:0"><div style="padding:0 0.25em"> <ul><li><a href="/wiki/Cameron%E2%80%93Martin_formula" class="mw-redirect" title="Cameron–Martin formula">Cameron–Martin formula</a></li> <li><a href="/wiki/Convergence_of_random_variables" title="Convergence of random variables">Convergence of random variables</a></li> <li><a href="/wiki/Dol%C3%A9ans-Dade_exponential" title="Doléans-Dade exponential">Doléans-Dade exponential</a></li> <li><a href="/wiki/Doob_decomposition_theorem" title="Doob decomposition theorem">Doob decomposition theorem</a></li> <li><a href="/wiki/Doob%E2%80%93Meyer_decomposition_theorem" title="Doob–Meyer decomposition theorem">Doob–Meyer decomposition theorem</a></li> <li><a href="/wiki/Doob%27s_optional_stopping_theorem" class="mw-redirect" title="Doob's optional stopping theorem">Doob's optional stopping theorem</a></li> <li><a href="/wiki/Dynkin%27s_formula" title="Dynkin's formula">Dynkin's formula</a></li> <li><a href="/wiki/Feynman%E2%80%93Kac_formula" title="Feynman–Kac formula">Feynman–Kac formula</a></li> <li><a href="/wiki/Filtration_(probability_theory)" title="Filtration (probability theory)">Filtration</a></li> <li><a href="/wiki/Girsanov_theorem" title="Girsanov theorem">Girsanov theorem</a></li> <li><a href="/wiki/Infinitesimal_generator_(stochastic_processes)" title="Infinitesimal generator (stochastic processes)">Infinitesimal generator</a></li> <li><a href="/wiki/It%C3%B4_integral" class="mw-redirect" title="Itô integral">Itô integral</a></li> <li><a href="/wiki/It%C3%B4%27s_lemma" title="Itô's lemma">Itô's lemma</a></li> <li><a href="/wiki/Karhunen%E2%80%93Lo%C3%A8ve_theorem" class="mw-redirect" title="Karhunen–Loève theorem">Karhunen–Loève theorem</a></li> <li><a href="/wiki/Kolmogorov_continuity_theorem" title="Kolmogorov continuity theorem">Kolmogorov continuity theorem</a></li> <li><a href="/wiki/Kolmogorov_extension_theorem" title="Kolmogorov extension theorem">Kolmogorov extension theorem</a></li> <li><a href="/wiki/L%C3%A9vy%E2%80%93Prokhorov_metric" title="Lévy–Prokhorov metric">Lévy–Prokhorov metric</a></li> <li><a href="/wiki/Malliavin_calculus" title="Malliavin calculus">Malliavin calculus</a></li> <li><a href="/wiki/Martingale_representation_theorem" title="Martingale representation theorem">Martingale representation theorem</a></li> <li><a href="/wiki/Optional_stopping_theorem" title="Optional stopping theorem">Optional stopping theorem</a></li> <li><a href="/wiki/Prokhorov%27s_theorem" title="Prokhorov's theorem">Prokhorov's theorem</a></li> <li><a href="/wiki/Quadratic_variation" title="Quadratic variation">Quadratic variation</a></li> <li><a href="/wiki/Reflection_principle_(Wiener_process)" title="Reflection principle (Wiener process)">Reflection principle</a></li> <li><a href="/wiki/Skorokhod_integral" title="Skorokhod integral">Skorokhod integral</a></li> <li><a href="/wiki/Skorokhod%27s_representation_theorem" title="Skorokhod's representation theorem">Skorokhod's representation theorem</a></li> <li><a href="/wiki/Skorokhod_space" class="mw-redirect" title="Skorokhod space">Skorokhod space</a></li> <li><a href="/wiki/Snell_envelope" title="Snell envelope">Snell envelope</a></li> <li><a href="/wiki/Stochastic_differential_equation" title="Stochastic differential equation">Stochastic differential equation</a> <ul><li><a href="/wiki/Tanaka_equation" title="Tanaka equation">Tanaka</a></li></ul></li> <li><a href="/wiki/Stopping_time" title="Stopping time">Stopping time</a></li> <li><a href="/wiki/Stratonovich_integral" title="Stratonovich integral">Stratonovich integral</a></li> <li><a href="/wiki/Uniform_integrability" title="Uniform integrability">Uniform integrability</a></li> <li><a href="/wiki/Usual_hypotheses" class="mw-redirect" title="Usual hypotheses">Usual hypotheses</a></li> <li><a href="/wiki/Wiener_space" class="mw-redirect" title="Wiener space">Wiener space</a> <ul><li><a href="/wiki/Classical_Wiener_space" title="Classical Wiener space">Classical</a></li> <li><a href="/wiki/Abstract_Wiener_space" title="Abstract Wiener space">Abstract</a></li></ul></li></ul> </div></td></tr><tr><th scope="row" class="navbox-group" style="width:1%">Disciplines</th><td class="navbox-list-with-group navbox-list navbox-odd hlist" style="width:100%;padding:0"><div style="padding:0 0.25em"> <ul><li><a href="/wiki/Actuarial_mathematics" class="mw-redirect" title="Actuarial mathematics">Actuarial mathematics</a></li> <li><a href="/wiki/Stochastic_control" title="Stochastic control">Control theory</a></li> 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