On the cumulant transforms for Hawkes processes

DOI10.1017/JPR.2022.96MaRDI QIDQ6159627zbMATH OpenOpenAlexFDO

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

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)

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

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