Limit theorems for Markovian Hawkes processes with a large initial intensity
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Publication:1615912
DOI10.1016/j.spa.2017.12.001zbMath1409.60078arXiv1512.02155OpenAlexW2963588348MaRDI QIDQ1615912
Publication date: 31 October 2018
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1512.02155
Central limit and other weak theorems (60F05) Large deviations (60F10) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)
Related Items (13)
Numerical method for means of linear Hawkes processes ⋮ Limit theorems for a discrete-time marked Hawkes process ⋮ Matrix calculations for moments of Markov processes ⋮ Asymptotic results for a class of Markovian self-exciting processes ⋮ Unnamed Item ⋮ Large deviations and applications for Markovian Hawkes processes with a large initial intensity ⋮ Precise deviations for Hawkes processes ⋮ Limit theorems for non-Markovian marked dynamic contagion processes ⋮ Functional limit theorems for marked Hawkes point measures ⋮ Limit theorems for an inverse Markovian Hawkes process ⋮ Unnamed Item ⋮ Functional limit theorems for nonstationary marked Hawkes processes in the high intensity regime ⋮ The microstructure of stochastic volatility models with self-exciting jump dynamics
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