Gaussian approximation of nonlinear Hawkes processes

DOI10.1214/15-AAP1141MaRDI QIDQ341602zbMATHFDO

Authors Giovanni Luca Torrisi

Publication date 16 November 2016

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

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

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)

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.

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(18)

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

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