Limit theorems for inverse process T_n of Hawkes process

DOI10.1007/S10114-016-5470-YMaRDI QIDQ520408zbMATHOpenAlexFDO

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

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)

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

Cites work

• scientific article; zbMATH DE number 3876298 (Why is no real title available?)
• scientific article; zbMATH DE number 3555176 (Why is no real title available?)
• scientific article; zbMATH DE number 1158743 (Why is no real title available?)
• A cluster process representation of a self-exciting process
• A dynamic contagion process
• Affine point processes and portfolio credit risk
• An Introduction to the Theory of Point Processes
• Central limit theorem for nonlinear Hawkes processes
• Large Deviations of Poisson Cluster Processes
• Large deviations behavior of counting processes and their inverses
• Large deviations for Markovian nonlinear Hawkes processes
• Limit theorems for a Cox-Ingersoll-Ross process with Hawkes jumps
• Limit theorems for discrete Hawkes processes
• Limit theorems for marked Hawkes processes with application to a risk model
• Limit theorems for nearly unstable Hawkes processes
• Moderate deviations for Hawkes processes
• Process-level large deviations for nonlinear Hawkes point processes
• Rough fractional diffusions as scaling limits of nearly unstable heavy tailed Hawkes processes
• Ruin probabilities for risk processes with non-stationary arrivals and subexponential claims
• Some limit theorems for Hawkes processes and application to financial statistics
• Spectra of some self-exciting and mutually exciting point processes
• Stability of nonlinear Hawkes processes
• The Hawkes process with different exciting functions and its asymptotic behavior

Cited in

(10)

• Limit theorems for an extended inverse Hawkes process with general exciting functions
• Limit theorems for Hawkes processes with uniform immigrants
• Limit theorems for an inverse Markovian Hawkes process
• Moderate deviations for marked Hawkes processes
• Asymptotics for an extended inverse Markovian Hawkes process
• Asymptotic results for a class of Markovian self-exciting processes
• Limit theorems for discrete Hawkes processes
• Limit theorems for the compensator of Hawkes processes
• Hawkes and INAR(\(\infty\)) processes
• Asymptotics for Hawkes processes with large and small baseline intensities

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