On the cumulant transforms for Hawkes processes

DOI10.1017/JPR.2022.96zbMATH Open1516.60031OpenAlexW4321598921MaRDI QIDQ6159627FDOQ6159627

Authors:

Publication date: 8 May 2023

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/jpr.2022.96

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zbMATH Keywords

Hawkes processexponentially special semimartingalestochastic logarithm

Mathematics Subject Classification ID

Characteristic functions; other transforms (60E10) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Generalized stochastic processes (60G20)

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Cited In (2)

• A Gamma Ornstein-Uhlenbeck model driven by a Hawkes process
• Transform analysis for Hawkes processes with applications in dark pool trading

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