Large Deviations of Poisson Cluster Processes
From MaRDI portal
Publication:3548758
DOI10.1080/15326340701645959zbMath1152.60316arXiv0704.1463OpenAlexW1752898370MaRDI QIDQ3548758
Charles Bordenave, Giovanni Luca Torrisi
Publication date: 17 December 2008
Published in: Stochastic Models (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0704.1463
Related Items
Limit theorems for Markovian Hawkes processes with a large initial intensity ⋮ Some asymptotic results for nonlinear Hawkes processes ⋮ Limit theorems for Hawkes processes including inhibition ⋮ RUIN PROBABILITIES FOR A MULTIDIMENSIONAL RISK MODEL WITH NON-STATIONARY ARRIVALS AND SUBEXPONENTIAL CLAIMS ⋮ A dynamic contagion process ⋮ Affine Point Processes: Approximation and Efficient Simulation ⋮ Limit Theorems for a Cox-Ingersoll-Ross Process with Hawkes Jumps ⋮ Limit Theorems for Marked Hawkes Processes with Application to a Risk Model ⋮ Precise deviations for Cox processes with a shot noise intensity ⋮ Asymptotic ruin probabilities for a bidimensional risk model with heavy-tailed claims and non-stationary arrivals ⋮ The Malliavin-Stein method for Hawkes functionals ⋮ Strongly super-Poisson statistics replaced by a wide-pulse Poisson process: the billiard random generator ⋮ Perfect Sampling of Hawkes Processes and Queues with Hawkes Arrivals ⋮ Limit theorems for the compensator of Hawkes processes ⋮ Precise large deviations in a bidimensional risk model with arbitrary dependence between claim-size vectors and waiting times ⋮ Limit theorems for a discrete-time marked Hawkes process ⋮ Unnamed Item ⋮ Moderate deviations for marked Hawkes processes ⋮ Asymptotics for random-time ruin probability of a risk model with diffusion, constant interest force and non-stationary arrivals ⋮ Process-level large deviations for nonlinear Hawkes point processes ⋮ Asymptotic results for a class of Markovian self-exciting processes ⋮ Hawkes processes framework with a gamma density as excitation function: application to natural disasters for insurance ⋮ Unnamed Item ⋮ Large and moderate deviations for a discrete-time marked Hawkes process ⋮ Limit theorems for an extended inverse Hawkes process with general exciting functions ⋮ Large deviations and applications for Markovian Hawkes processes with a large initial intensity ⋮ Asymptotic analysis for affine point processes with large initial intensity ⋮ Precise deviations for Hawkes processes ⋮ Asymptotic behavior of mean density estimators based on a single observation: the Boolean model case ⋮ Precise large deviations of aggregate claims in a risk model with size dependence and non stationary arrivals ⋮ Recursive computation of the Hawkes cumulants ⋮ Limit theorems for inverse process \(T_n\) of Hawkes process ⋮ Asymptotics for Hawkes processes with large and small baseline intensities ⋮ Risk processes with non-stationary Hawkes claims arrivals ⋮ Ruin probabilities for risk processes with non-stationary arrivals and subexponential claims ⋮ Functional limit theorems for marked Hawkes point measures ⋮ Limit properties of continuous self-exciting processes ⋮ Asymptotic analysis of Poisson shot noise processes, and applications ⋮ Functional central limit theorems for stationary Hawkes processes and application to infinite-server queues ⋮ Comparisons and asymptotics for empty space hazard functions of germ-grain models ⋮ An extension of Hawkes processes with ephemeral nearest effects ⋮ Functional central limit theorems and moderate deviations for Poisson cluster processes ⋮ Central Limit Theorem for Nonlinear Hawkes Processes ⋮ Large deviations for Markovian nonlinear Hawkes processes ⋮ Limit theorems for discrete Hawkes processes ⋮ Hawkes processes on large networks
Cites Work
- Unnamed Item
- Unnamed Item
- Space-time point-process models for earthquake occurrences
- Large deviations for vector-valued Lévy processes
- Stability results for a general class of interacting point processes dynamics, and applications
- The pair correlation function of spatial Hawkes processes
- Stability of nonlinear Hawkes processes
- Rate of convergence to equilibrium of marked Hawkes processes
- A class of interacting marked point processes: rate of convergence to equilibrium
- A cluster process representation of a self-exciting process
- Spatio-temporal Modelling of Weeds by Shot-noiseG Cox processes
- Shot noise Cox processes
- Generalised shot noise Cox processes
- An Introduction to the Theory of Point Processes
- Power spectra of random spike fields and related processes
- Boundary-Value Problems for Random Walks and Large Deviations in Function Spaces
- Spectra of some self-exciting and mutually exciting point processes
- Perfect simulation of Hawkes processes
- Estimating value-at-risk: a point process approach
This page was built for publication: Large Deviations of Poisson Cluster Processes
