Central Limit Theorem for Nonlinear Hawkes Processes
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Publication:2854079
DOI10.1239/JAP/1378401234zbMath1306.60015arXiv1204.1067OpenAlexW2060940929MaRDI QIDQ2854079
Publication date: 17 October 2013
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1204.1067
Central limit and other weak theorems (60F05) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)
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Cites Work
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- Large deviations for Markovian nonlinear Hawkes processes
- Some limit theorems for Hawkes processes and application to financial statistics
- Invariance principles for the law of the iterated logarithm for martingales and processes with stationary increments
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- Affine Point Processes and Portfolio Credit Risk
- Rate of convergence to equilibrium of marked Hawkes processes
- A dynamic contagion process
- Limit Theorems for Marked Hawkes Processes with Application to a Risk Model
- Large Deviations of Poisson Cluster Processes
- A cluster process representation of a self-exciting process
- An Introduction to the Theory of Point Processes
- Spectra of some self-exciting and mutually exciting point processes
- An Introduction to the Theory of Point Processes
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