Rough fractional diffusions as scaling limits of nearly unstable heavy tailed Hawkes processes

DOI10.1214/15-AAP1164zbMath1351.60046arXiv1504.03100OpenAlexW2964017799MaRDI QIDQ350696

Publication date: 9 December 2016

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

Full work available at URL: https://arxiv.org/abs/1504.03100

zbMATH Keywords

long memory limit theorems volatility heavy tail Hawkes processes fractional Cox-Ingersoll-Ross process fractional stochastic equation nearly unstable processes

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22)

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