Gaussian approximation of nonlinear Hawkes processes

DOI10.1214/15-AAP1141zbMath1352.60070arXiv1609.08899MaRDI QIDQ341602

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

Malliavin calculusStein's methodClark-Ocone formulaPoisson processGaussian approximationHawkes processesstochastic intensity

Mathematics Subject Classification ID

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

Related Items (12)

Limit theorems for Markovian Hawkes processes with a large initial intensity ⋮ Some asymptotic results for nonlinear Hawkes processes ⋮ The Malliavin-Stein method for Hawkes functionals ⋮ Mean-field limit of generalized Hawkes processes ⋮ An expansion formula for Hawkes processes and application to cyber-insurance derivatives ⋮ Bayesian estimation of nonlinear Hawkes processes ⋮ Diffusive limits of Lipschitz functionals of Poisson measures ⋮ Normal approximation of compound Hawkes functionals ⋮ Large deviations and applications for Markovian Hawkes processes with a large initial intensity ⋮ Precise deviations for Hawkes processes ⋮ Unnamed Item ⋮ Functional central limit theorems and moderate deviations for Poisson cluster processes

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