Limit theorems for inverse process T_n of Hawkes process

DOI10.1007/S10114-016-5470-YzbMATH Open1359.60063OpenAlexW2526649546MaRDI QIDQ520408FDOQ520408

Authors: Youngsoo Seol 

Publication date: 3 April 2017

Published in: Acta Mathematica Sinica, English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10114-016-5470-y

Recommendations

• Limit theorems for an inverse Markovian Hawkes process
• Limit theorems for an extended inverse Hawkes process with general exciting functions
• Limit theorems for discrete Hawkes processes
• Limit theorems for Hawkes processes with uniform immigrants
• Limit theorems for marked Hawkes processes with application to a risk model

zbMATH Keywords

large deviationslaw of large numbersHawkes processescentral limit theoremsself-exciting processes

Mathematics Subject Classification ID

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

Cites Work

• An Introduction to the Theory of Point Processes
• Spectra of some self-exciting and mutually exciting point processes
• A cluster process representation of a self-exciting process
• Affine point processes and portfolio credit risk
• Some limit theorems for Hawkes processes and application to financial statistics
• Title not available (Why is that?)
• Large deviations for Markovian nonlinear Hawkes processes
• Limit theorems for nearly unstable Hawkes processes
• Stability of nonlinear Hawkes processes
• Central limit theorem for nonlinear Hawkes processes
• Large Deviations of Poisson Cluster Processes
• Title not available (Why is that?)
• Ruin probabilities for risk processes with non-stationary arrivals and subexponential claims
• Title not available (Why is that?)
• Large deviations behavior of counting processes and their inverses
• Limit theorems for a Cox-Ingersoll-Ross process with Hawkes jumps
• Rough fractional diffusions as scaling limits of nearly unstable heavy tailed Hawkes processes
• Process-level large deviations for nonlinear Hawkes point processes
• Moderate deviations for Hawkes processes
• Limit theorems for discrete Hawkes processes
• A dynamic contagion process
• Limit Theorems for Marked Hawkes Processes with Application to a Risk Model
• The Hawkes Process with Different Exciting Functions and its Asymptotic Behavior

Cited In (9)

• Asymptotic results for a class of Markovian self-exciting processes
• Title not available (Why is that?)
• Limit theorems for the compensator of Hawkes processes
• Limit theorems for an extended inverse Hawkes process with general exciting functions
• Moderate deviations for marked Hawkes processes
• Asymptotics for Hawkes processes with large and small baseline intensities
• Title not available (Why is that?)
• Limit theorems for an inverse Markovian Hawkes process
• Hawkes and INAR(\(\infty\)) processes

This page was built for publication: Limit theorems for inverse process \(T_n\) of Hawkes process

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q520408)