Limit Theorems for a Cox-Ingersoll-Ross Process with Hawkes Jumps

DOI10.1239/jap/1409932668zbMath1307.60033arXiv1309.5625OpenAlexW2020958959MaRDI QIDQ2923430

Lingjiong Zhu

Publication date: 15 October 2014

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

Full work available at URL: https://arxiv.org/abs/1309.5625

zbMATH Keywords

law of large numberspoint processcentral limit theoremlarge deviationsHawkes processCox-Ingersoll-Ross processself-exciting process

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Strong limit theorems (60F15) Large deviations (60F10) General theory of stochastic processes (60G07) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

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