The Malliavin-Stein method for Hawkes functionals (Q5870399): Difference between revisions

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+Some limit theorems for Hawkes processes and application to financial statistics
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+Large Deviations of Poisson Cluster Processes
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+Stability of nonlinear Hawkes processes
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+Renewal in Hawkes processes with self-excitation and inhibition
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+An introduction to the theory of point processes
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+Stability, convergence to equilibrium and simulation of non-linear Hawkes processes with memory kernels given by the sum of Erlang kernels
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+Affine Point Processes and Portfolio Credit Risk
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+Functional central limit theorems for stationary Hawkes processes and application to infinite-server queues
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+Spectra of some self-exciting and mutually exciting point processes
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+A cluster process representation of a self-exciting process
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+A Scaling Limit for Limit Order Books Driven by Hawkes Processes
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+Functional limit theorems for marked Hawkes point measures
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+Limit theorems for nearly unstable Hawkes processes
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+Characterization of infinite divisibility by duality formulas. Application to Lévy processes and random measures
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+Stein's method on Wiener chaos
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+Normal Approximations with Malliavin Calculus
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+Q3479316
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+On Lewis' simulation method for point processes
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+Stein's method and normal approximation of Poisson functionals
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+Duality formulas on the Poisson space
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+Stochastic analysis in discrete and continuous settings. With normal martingales.
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+Stein approximation for multidimensional Poisson random measures by third cumulant expansions
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+Adaptive estimation for Hawkes processes; application to genome analysis
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+Canonical Lévy process and Malliavin calculus
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+Gaussian approximation of nonlinear Hawkes processes
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+Central Limit Theorem for Nonlinear Hawkes Processes
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+Limit Theorems for a Cox-Ingersoll-Ross Process with Hawkes Jumps
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+Large deviations for Markovian nonlinear Hawkes processes
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