On the chaotic expansion for counting processes
From MaRDI portal
Publication:6409764
arXiv2209.01972MaRDI QIDQ6409764FDOQ6409764
Authors: Caroline Hillairet, Anthony Réveillac 
Publication date: 5 September 2022
Abstract: We introduce and study an alternative form of the chaotic expansion for counting processes using the Poisson imbedding representation; we name this alternative form extit{pseudo-chaotic expansion}. As an application, we prove that the coefficients of this pseudo-chaotic expansion for any linear Hawkes process are obtained in closed form, whereas those of the usual chaotic expansion cannot be derived explicitly. Finally, we study further the structure of linear Hawkes processes by constructing an example of a process in a pseudo-chaotic form that satisfies the stochastic self-exciting intensity equation which determines a Hawkes process (in particular its expectation equals the one of a Hawkes process) but which fails to be a counting process.
Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Stochastic calculus of variations and the Malliavin calculus (60H07) Random measures (60G57)
This page was built for publication: On the chaotic expansion for counting processes
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6409764)
