Gaussian approximation of nonlinear Hawkes processes

DOI10.1214/15-AAP1141zbMATH Open1352.60070arXiv1609.08899MaRDI QIDQ341602FDOQ341602

Authors: Giovanni Luca Torrisi 

Publication date: 16 November 2016

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

Abstract: We give a general Gaussian bound for the first chaos (or innovation) of point processes with stochastic intensity constructed by embedding in a bivariate Poisson process. We apply the general result to nonlinear Hawkes processes, providing quantitative central limit theorems.

Full work available at URL: https://arxiv.org/abs/1609.08899

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zbMATH Keywords

Gaussian approximationMalliavin calculusPoisson processStein's methodHawkes processesstochastic intensityClark-Ocone formula

Mathematics Subject Classification ID

Gaussian processes (60G15) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Stochastic calculus of variations and the Malliavin calculus (60H07) Central limit and other weak theorems (60F05)

Cited In (18)

• Mean-field limit of generalized Hawkes processes
• Process-level large deviations for nonlinear Hawkes point processes
• Limit theorems for Markovian Hawkes processes with a large initial intensity
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• An expansion formula for Hawkes processes and application to cyber-insurance derivatives
• Some asymptotic results for nonlinear Hawkes processes
• Large deviations and applications for Markovian Hawkes processes with a large initial intensity
• Some non asymptotic tail estimates for Hawkes processes
• Fifty years later: new directions in Hawkes processes
• Poisson approximation of point processes with stochastic intensity, and application to nonlinear Hawkes processes
• Normal approximation of compound Hawkes functionals
• Central limit theorem for nonlinear Hawkes processes
• Multivariate Hawkes process allowing for common shocks
• Precise deviations for Hawkes processes
• The Malliavin-Stein method for Hawkes functionals
• On the adaptive Lasso estimator of AR(\(p\)) time series with applications to INAR(\(p\)) and Hawkes processes
• Bayesian estimation of nonlinear Hawkes processes
• Diffusive limits of Lipschitz functionals of Poisson measures

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