Rate of convergence to equilibrium of marked Hawkes processes

DOI10.1239/JAP/1019737993MaRDI QIDQ3147422zbMATH OpenOpenAlexFDO

Authors Pierre Brémaud, Giovanna Nappo, Giovanni Luca Torrisi

Publication date 13 February 2003

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

Full work available at URL https://doi.org/10.1239/jap/1019737993

zbMATH Keywords

branching processespoint processesrenewal theorystochastic intensitystochastic simulation

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Branching processes (Galton-Watson, birth-and-death, etc.) (60J80) Renewal theory (60K05)

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Cited in

(26)

• Integration by parts formulas for marked Hawkes processes
• Asymptotics for Hawkes processes with large and small baseline intensities
• Functional limit theorems for marked Hawkes point measures
• Functional limit theorems for nonstationary marked Hawkes processes in the high intensity regime
• Limit theorems for Hawkes processes including inhibition
• The pair correlation function of spatial Hawkes processes
• Approximate simulation of Hawkes processes
• Hawkes processes on large networks
• Hawkes branching point processes without ancestors
• Central limit theorem for nonlinear Hawkes processes
• Statistical inference versus mean field limit for Hawkes processes
• Limit theorems for marked Hawkes processes with application to a risk model
• Large Deviations of Poisson Cluster Processes
• Estimation for the prediction of point processes with many covariates
• Renewal in Hawkes processes with self-excitation and inhibition
• Perfect Sampling of Hawkes Processes and Queues with Hawkes Arrivals
• The Hawkes process with different exciting functions and its asymptotic behavior
• Perfect simulation of Hawkes processes
• Stability, convergence to equilibrium and simulation of non-linear Hawkes processes with memory kernels given by the sum of Erlang kernels
• Bayesian estimation of nonlinear Hawkes processes
• On the adaptive Lasso estimator of AR(p) time series with applications to INAR(p) and Hawkes processes
• Diffusion approximations for self-excited systems with applications to general branching processes
• Nonlinear marked Poisson autoregression: stability and rate of convergence to equilibrium
• Scaling limits for interactive Hawkes shot noise processes
• Exact asymptotics of ruin probabilities with linear Hawkes arrivals
• Risk processes with non-stationary Hawkes claims arrivals

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