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Kyungsub Lee

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Preprint Jul 2026

Long-memory Markov chains with power-law intensities

We introduce a self-exciting point process with power-law intensity dynamics that admits a finite-dimensional Markovian state representation. The model is constructed to preserve the local jump and slope update structure of power-law Hawkes processes, while replacing global history dependence with a nonlinear Markov ch...

Kyungsub Lee · 1 citation

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