Simulating univariate Hawkes’ by thinning
The paper, written by Yosihiko Ogata, titled, ``On Lewis Simulation Method for Point Process", gives a detailed procedure to simulate univariate and multivariate point processes. The following document contains the algo and necessary R code for simulating univariate Hawkes' self exciting process. The good thing about this algo is that is based on “thinning” and hence it is not a computationally expensive task.