Moderate deviations for marked Hawkes processes
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Recommendations
- Limit theorems for marked Hawkes processes with application to a risk model
- Large deviations for Markovian nonlinear Hawkes processes
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- Asymptotics for Hawkes processes with large and small baseline intensities
- Limit theorems for discrete Hawkes processes
Cites work
- scientific article; zbMATH DE number 1158743 (Why is no real title available?)
- scientific article; zbMATH DE number 3349081 (Why is no real title available?)
- A cluster process representation of a self-exciting process
- A dynamic contagion process
- Affine point processes and portfolio credit risk
- An Introduction to the Theory of Point Processes
- Central limit theorem for nonlinear Hawkes processes
- Large Deviations of Poisson Cluster Processes
- Large deviations for Markovian nonlinear Hawkes processes
- Limit theorems for a Cox-Ingersoll-Ross process with Hawkes jumps
- Limit theorems for discrete Hawkes processes
- Limit theorems for inverse process \(T_n\) of Hawkes process
- Limit theorems for marked Hawkes processes with application to a risk model
- Moderate deviations for Hawkes processes
- Process-level large deviations for nonlinear Hawkes point processes
- Ruin probabilities for risk processes with non-stationary arrivals and subexponential claims
- Some limit theorems for Hawkes processes and application to financial statistics
- Spectra of some self-exciting and mutually exciting point processes
- Stability of nonlinear Hawkes processes
- The Hawkes process with different exciting functions and its asymptotic behavior
Cited in
(10)- Limit theorems for Hawkes processes with uniform immigrants
- Asymptotic results for a class of Markovian self-exciting processes
- Limit theorems for marked Hawkes processes with application to a risk model
- Moderate deviations for Hawkes processes
- Large and moderate deviations for a discrete-time marked Hawkes process
- Moderate deviations for multivariate Hawkes processes
- Moderate deviations for a Hawkes-type risk model with arbitrary dependence between claim sizes and waiting times
- Asymptotics for Hawkes processes with large and small baseline intensities
- Asymptotics for an extended inverse Markovian Hawkes process
- Limit theorems for an inverse Markovian Hawkes process
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