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Hawkes_process_with_Erlang_kernels

Codes for simulating the Hawkes process with Erlang kernels (point process + limiting diffusion with Euler-Maruyama scheme and the splitting scheme)

Author of the codes for the simulation of the point process: Julien Chevallier (julien.chevallier1 at univ-grenoble-alpes.fr)

Author of the codes for the simulation of the diffusion process (EM+Splitting): Anna Melnykova (anna.melnykova at univ-grenoble-alpes.fr) and Irene Tubikanec (irene.tubikanec at jku.at)

Author of the codes for the RCpp code for EM and Splitting: Irene Tubikanec.

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Codes for simulating the Hawkes process with Erlang kernels (point process + limiting diffusion with Euler-Maruyama scheme and the splitting scheme)

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