Process-level large deviations for nonlinear Hawkes point processes
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Abstract: In this paper, we prove a process-level, also known as level-3 large deviation principle for a very general class of simple point processes, i.e. nonlinear Hawkes process, with a rate function given by the process-level entropy, which has an explicit formula.
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Cites work
- scientific article; zbMATH DE number 3876298 (Why is no real title available?)
- scientific article; zbMATH DE number 1158743 (Why is no real title available?)
- An introduction to the theory of point processes
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- Central limit theorem for nonlinear Hawkes processes
- Large Deviations of Poisson Cluster Processes
- Large deviations
- Point processes and random measures
- Risk processes with non-stationary Hawkes claims arrivals
- 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
Cited in
(23)- Mean-field limit of generalized Hawkes processes
- 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
- Limit theorems for a Cox-Ingersoll-Ross process with Hawkes jumps
- Large and moderate deviations for a discrete-time marked Hawkes process
- Limit theorems for the compensator of Hawkes processes
- Limit theorems for inverse process \(T_n\) of Hawkes process
- Limit theorems for an extended inverse Hawkes process with general exciting functions
- Limit theorems for discrete Hawkes processes
- Some asymptotic results for nonlinear Hawkes processes
- An extension of Hawkes processes with ephemeral nearest effects
- Large deviations and applications for Markovian Hawkes processes with a large initial intensity
- Moderate deviations for marked Hawkes processes
- Study of discrete-time Hawkes process and its compensator
- Limit theorems for a discrete-time marked Hawkes process
- Large deviations for Markovian nonlinear Hawkes processes
- Asymptotics for Hawkes processes with large and small baseline intensities
- Asymptotics for an extended inverse Markovian Hawkes process
- Limit theorems for Hawkes processes including inhibition
- Limit theorems for an inverse Markovian Hawkes process
- Precise deviations for Hawkes processes
- Affine point processes: approximation and efficient simulation
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