On the cumulant transforms for Hawkes processes

DOI10.1017/JPR.2022.96zbMath1516.60031OpenAlexW4321598921MaRDI QIDQ6159627

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Publication date: 8 May 2023

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/jpr.2022.96

zbMATH Keywords

Hawkes processexponentially special semimartingalestochastic logarithm

Mathematics Subject Classification ID

Characteristic functions; other transforms (60E10) Generalized stochastic processes (60G20) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

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