Rough fractional diffusions as scaling limits of nearly unstable heavy tailed Hawkes processes (Q350696): Difference between revisions
From MaRDI portal
Set profile property. |
Changed an Item |
||
| Property / arXiv ID | |||
| Property / arXiv ID: 1504.03100 / rank | |||
Normal rank | |||
Revision as of 12:48, 18 April 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Rough fractional diffusions as scaling limits of nearly unstable heavy tailed Hawkes processes |
scientific article |
Statements
Rough fractional diffusions as scaling limits of nearly unstable heavy tailed Hawkes processes (English)
0 references
9 December 2016
0 references
Hawkes processes
0 references
limit theorems
0 references
nearly unstable processes
0 references
heavy tail
0 references
fractional stochastic equation
0 references
fractional Cox-Ingersoll-Ross process
0 references
volatility
0 references
long memory
0 references
