Rough fractional diffusions as scaling limits of nearly unstable heavy tailed Hawkes processes (Q350696)

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Rough fractional diffusions as scaling limits of nearly unstable heavy tailed Hawkes processes
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    Rough fractional diffusions as scaling limits of nearly unstable heavy tailed Hawkes processes (English)
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    9 December 2016
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    Hawkes processes
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    limit theorems
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    nearly unstable processes
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    heavy tail
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    fractional stochastic equation
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    fractional Cox-Ingersoll-Ross process
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    volatility
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    long memory
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