Functional limit theorems for nonstationary marked Hawkes processes in the high intensity regime

DOI10.1016/j.spa.2021.10.008zbMath1480.60075OpenAlexW3209754967WikidataQ113863847 ScholiaQ113863847MaRDI QIDQ2059694

Guodong Pang, Bo Li

Publication date: 14 December 2021

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2021.10.008

zbMATH Keywords

functional limit theoremsnon-stationaritymarked Hawkes processcontinuous Gaussian processeshigh intensity asymptotic regimeimmigration-birth representation

Mathematics Subject Classification ID

Strong limit theorems (60F15) Branching processes (Galton-Watson, birth-and-death, etc.) (60J80) Functional limit theorems; invariance principles (60F17) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items (1)

On the splitting and aggregating of Hawkes processes

Cites Work

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