Moments for Hawkes processes with gamma decay kernel functions

DOI10.1007/S11009-020-09840-8MaRDI QIDQ2157395zbMATH OpenOpenAlexFDO

Authors Lirong Cui, Bei Wu, Juan Yin

Publication date 28 July 2022

Published in Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11009-020-09840-8

zbMATH Keywords

compound gamma decay kernel functionDynkin's formulaGamma decay kernel functionHawkes processmoments

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Credit risk (91G40)

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Cites work

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• scientific article; zbMATH DE number 3378360 (Why is no real title available?)
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Cited in

(12)

• A fractional Hawkes process
• Recursive computation of the Hawkes cumulants
• A fractional Hawkes process. II: Further characterization of the process
• An elementary derivation of moments of Hawkes processes
• Numerical method for means of linear Hawkes processes
• Matrix calculations for moments of Markov processes
• Normal approximation of compound Hawkes functionals
• Multivariate Hawkes process allowing for common shocks
• Exponential moments for Hawkes processes under minimal assumptions
• Ergodic properties of the Hawkes process with a general excitation kernel
• Expectations of linear and nonlinear Hawkes processes using a field-theoretical approach
• The rough Hawkes process

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