Limit theorems for Hawkes processes with uniform immigrants

DOI10.4134/JKMS.J180483MaRDI QIDQ5242986zbMATH OpenFDO

Authors Youngsoo Seol

Publication date 8 November 2019

Full work available at URL https://doi.org/10.4134/JKMS.J180483

zbMATH Keywords

central limit theoremsHawkes processlarge deviations principlelaw of large numbersself-exciting point processesuniform immigrants

Mathematics Subject Classification ID

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

Recommendations

• Limit theorems for an inverse Markovian Hawkes process
• Limit theorems for Markovian Hawkes processes with a large initial intensity
• Central limit theorem for nonlinear Hawkes processes
• Limit theorems for discrete Hawkes processes
• Limit theorems for Hawkes processes including inhibition

Cites work

• 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
• 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?)
• Large deviations for Markovian nonlinear Hawkes processes
• Large Deviations of Poisson Cluster Processes
• Limit theorems for a Cox-Ingersoll-Ross process with Hawkes jumps
• Limit theorems for discrete Hawkes processes
• Limit theorems for inverse process \(T_n\) of Hawkes process
• Limit theorems for marked Hawkes processes with application to a risk model
• Limit theorems for nearly unstable Hawkes processes
• Limit theorems for the compensator of Hawkes processes
• Moderate deviations for Hawkes processes
• Moderate deviations for marked 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
• The Hawkes process with renewal immigration \& its estimation with an EM algorithm
• Transform analysis for Hawkes processes with applications in dark pool trading

Cited in

(12)

• Functional limit theorems for marked Hawkes point measures
• Limit theorems for Hawkes processes including inhibition
• Limit theorems for nearly unstable Hawkes processes
• Limit theorems for discrete Hawkes processes
• Limit theorems for the compensator of Hawkes processes
• Hawkes branching point processes without ancestors
• Limit theorems for a Cox-Ingersoll-Ross process with Hawkes jumps
• Renewal in Hawkes processes with self-excitation and inhibition
• Limit theorems for inverse process \(T_n\) of Hawkes process
• Population viewpoint on Hawkes processes
• On the splitting and aggregating of Hawkes processes
• Conditional Uniformity and Hawkes Processes

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