Gaussian approximation of nonlinear Hawkes processes

DOI10.1214/15-AAP1141MaRDI QIDQ341602zbMATH OpenFDO

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, https://projecteuclid.org/euclid.aoap/1472745453

zbMATH Keywords

Clark-Ocone formulaGaussian approximationHawkes processesMalliavin calculusPoisson processStein's methodstochastic intensity

Mathematics Subject Classification ID

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

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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Cited in

(21)

• Limit theorems for Markovian Hawkes processes with a large initial intensity
• Some asymptotic results for nonlinear Hawkes processes
• Mean-field limit of generalized Hawkes processes
• Large deviations and applications for Markovian Hawkes processes with a large initial intensity
• Precise deviations for Hawkes processes
• Poisson approximation of point processes with stochastic intensity, and application to nonlinear Hawkes processes
• Central limit theorem for nonlinear Hawkes processes
• Process-level large deviations for nonlinear Hawkes point processes
• Functional central limit theorems and moderate deviations for Poisson cluster processes
• Fifty years later: new directions in Hawkes processes
• The Malliavin-Stein method for Hawkes functionals
• 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
• On the adaptive Lasso estimator of AR(p) time series with applications to INAR(p) and Hawkes processes
• Multivariate Hawkes process allowing for common shocks
• Tall random matrices with chaotic entries: approximate isometry and covariance estimation
• Expectations of linear and nonlinear Hawkes processes using a field-theoretical approach
• Gaussian approximation and moderate deviations of Poisson shot noises with application to compound generalized Hawkes processes
• Some non asymptotic tail estimates for Hawkes processes

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