Rough fractional diffusions as scaling limits of nearly unstable heavy tailed Hawkes processes (Q350696): Difference between revisions

@@ Property / Mathematics Subject Classification ID @@
+G22
@@ Property / Mathematics Subject Classification ID: 60G22 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+F05
@@ Property / Mathematics Subject Classification ID: 60F05 / rank @@
+Normal rank
@@ Property / zbMATH DE Number @@
+6662301
@@ Property / zbMATH DE Number: 6662301 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+Hawkes processes
@@ Property / zbMATH Keywords: Hawkes processes / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+limit theorems
@@ Property / zbMATH Keywords: limit theorems / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+nearly unstable processes
@@ Property / zbMATH Keywords: nearly unstable processes / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+heavy tail
@@ Property / zbMATH Keywords: heavy tail / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+fractional stochastic equation
@@ Property / zbMATH Keywords: fractional stochastic equation / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+fractional Cox-Ingersoll-Ross process
@@ Property / zbMATH Keywords: fractional Cox-Ingersoll-Ross process / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+volatility
@@ Property / zbMATH Keywords: volatility / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+long memory
@@ Property / zbMATH Keywords: long memory / rank @@
+Normal rank

Revision as of 08:19, 28 June 2023