scientific article; zbMATH DE number 7374752

DOI10.4134/JKMS.j200251zbMath1469.60157MaRDI QIDQ5001931

Youngsoo Seol

Publication date: 23 July 2021

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

law of large numberscentral limit theoremsHawkes processself-exciting point processesinverse Markovian

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Large deviations (60F10) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items (2)

Asymptotic results for a class of Markovian self-exciting processes ⋮ Limit theorems for an extended inverse Hawkes process with general exciting functions

Cites Work

• Unnamed Item
• Unnamed Item
• Rough fractional diffusions as scaling limits of nearly unstable heavy tailed Hawkes processes
• Process-level large deviations for nonlinear Hawkes point processes
• Limit theorems for inverse process \(T_n\) of Hawkes process
• Stability results for a general class of interacting point processes dynamics, and applications
• Limit theorems for Markovian Hawkes processes with a large initial intensity
• Some asymptotic results for nonlinear Hawkes processes
• The Hawkes process with renewal immigration \& its estimation with an EM algorithm
• Moderate deviations for marked Hawkes processes
• Large deviations and applications for Markovian Hawkes processes with a large initial intensity
• Moderate deviations for Hawkes processes
• Ruin probabilities for risk processes with non-stationary arrivals and subexponential claims
• Limit theorems for an inverse Markovian Hawkes process
• Functional central limit theorems for stationary Hawkes processes and application to infinite-server queues
• Large deviations for Markovian nonlinear Hawkes processes
• Limit theorems for nearly unstable Hawkes processes
• Limit theorems for discrete Hawkes processes
• Limit theorems for the compensator of Hawkes processes
• Some limit theorems for Hawkes processes and application to financial statistics
• Stability of nonlinear Hawkes processes
• Central Limit Theorem for Nonlinear Hawkes Processes
• Limit Theorems for a Cox-Ingersoll-Ross Process with Hawkes Jumps
• Affine Point Processes and Portfolio Credit Risk
• A dynamic contagion process
• Limit Theorems for Marked Hawkes Processes with Application to a Risk Model
• Large Deviations of Poisson Cluster Processes
• A cluster process representation of a self-exciting process
• Transform analysis for Hawkes processes with applications in dark pool trading
• An Introduction to the Theory of Point Processes
• The Hawkes Process with Different Exciting Functions and its Asymptotic Behavior
• Spectra of some self-exciting and mutually exciting point processes
• On the Stochastic Matrices Associated with Certain Queuing Processes

This page was built for publication: