Limit theorems for nearly unstable Hawkes processes

DOI10.1214/14-AAP1005zbMath1319.60101arXiv1310.2033WikidataQ98839740 ScholiaQ98839740MaRDI QIDQ2341626

Mathieu Rosenbaum, Thibault Jaisson

Publication date: 27 April 2015

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1310.2033

zbMATH Keywords

point processeslimit theoremshigh-frequency dataCox-Ingersoll-Ross modelHeston modelHawkes processesmicrostructure modelingorder flows

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05) Functional limit theorems; invariance principles (60F17) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

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