Stability of nonlinear Hawkes processes
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(only showing first 100 items - show all)- Limit theorems for an inverse Markovian Hawkes process
- Nonparametric likelihood based estimation of linear filters for point processes
- An estimation procedure for the Hawkes process
- Nonlinear Poisson autoregression and nonlinear Hawkes processes
- Stability, convergence to equilibrium and simulation of non-linear Hawkes processes with memory kernels given by the sum of Erlang kernels
- Exponential moments for Hawkes processes under minimal assumptions
- Large Deviations of Poisson Cluster Processes
- Renewal in Hawkes processes with self-excitation and inhibition
- Stability and mean-field limits of age dependent Hawkes processes
- Mean field limits for interacting Hawkes processes in a diffusive regime
- A weak solution theory for stochastic Volterra equations of convolution type
- Regenerative properties of the linear Hawkes process with unbounded memory
- Analysis of order book flows using a non-parametric estimation of the branching ratio matrix
- Precise deviations for Hawkes processes
- Hawkes branching point processes without ancestors
- Estimation for the prediction of point processes with many covariates
- Hawkes and INAR(\(\infty\)) processes
- Modelling security market events in continuous time: intensity based, multivariate point process models
- Mean-field limits for non-linear Hawkes processes with excitation and inhibition
- Adaptive estimation for Hawkes processes; application to genome analysis
- The Malliavin-Stein method for Hawkes functionals
- Concentration inequalities for stochastic differential equations of pure non-Poissonian jumps
- The role of volume in order book dynamics: a multivariate Hawkes process analysis
- Perfect simulation of Hawkes processes
- Spiking neurons: interacting Hawkes processes, mean field limits and oscillations
- Exponential ergodicity for diffusions with jumps driven by a Hawkes process
- Bayesian estimation of nonlinear Hawkes processes
- Flexible statistical modelling of the occurrences of transcription factor binding sites along a DNA sequence
- Improvements on scalable stochastic Bayesian inference methods for multivariate Hawkes process
- Commodity Asian option pricing and simulation in a 4-factor model with jump clusters
- Hawkes-driven stochastic volatility models: goodness-of-fit testing of alternative intensity specifications with S\&P500 data
- Large deviations for cascades of diffusions arising in oscillating systems of interacting Hawkes processes
- Bootstrap and permutation tests of independence for point processes
- Strong approximation of density estimators from weakly dependent observations by density estimators from independent observations
- Diffusive limits of Lipschitz functionals of Poisson measures
- An ephemerally self-exciting point process
- Spatio-temporal patterns of IED usage by the Provisional Irish Republican Army
- Mean-field limit of generalized Hawkes processes
- Integration by parts formulas for marked Hawkes processes
- Hawkes processes on large networks
- Stochastic modelling of big data in finance
- Infinite systems of interacting chains with memory of variable length -- a stochastic model for biological neural nets
- Long-term stability of interacting Hawkes processes on random graphs
- Limit theorems for Hawkes processes with uniform immigrants
- Process-level large deviations for nonlinear Hawkes point processes
- Multivariate Hawkes processes with simultaneous occurrence of excitation events coming from different sources
- Multivariate Temporal Point Process Regression
- A neural network based model for multi-dimensional non-linear Hawkes processes
- Limit theorems for Markovian Hawkes processes with a large initial intensity
- Markov-modulated Hawkes process with stepwise decay
- Asymptotic results for a class of Markovian self-exciting processes
- Kalikow decomposition for counting processes with stochastic intensity and application to simulation algorithms
- Latent Network Structure Learning From High-Dimensional Multivariate Point Processes
- Statistical inference versus mean field limit for Hawkes processes
- Functional inequalities for marked point processes
- High-dimensional Hawkes processes for limit order books: modelling, empirical analysis and numerical calibration
- Risk processes with non-stationary Hawkes claims arrivals
- Modelling of limit order books by general compound Hawkes processes with implementations
- Limit theorems for a Cox-Ingersoll-Ross process with Hawkes jumps
- A convergence criterion for systems of point processes from the convergence of their stochastic intensities
- On a Finite-Size Neuronal Population Equation
- Functional limit theorems for nonstationary marked Hawkes processes in the high intensity regime
- Large and moderate deviations for a discrete-time marked Hawkes process
- Limit theorems for the compensator of Hawkes processes
- A bivariate shot noise self-exciting process for insurance
- Hawkes processes with variable length memory and an infinite number of components
- Generalized evolutionary point processes: model specifications and model comparison
- Propagation of chaos and Poisson hypothesis for replica mean-field models of intensity-based neural networks
- Diffusion approximations for self-excited systems with applications to general branching processes
- An expansion formula for Hawkes processes and application to cyber-insurance derivatives
- Construction and simulation of generalized multivariate Hawkes processes
- Efficient Simulation of Sparse Graphs of Point Processes
- Nonparametric drift estimation for diffusions with jumps driven by a Hawkes process
- Nonparametric Bayesian estimation for multivariate Hawkes processes
- Limit theorems for inverse process \(T_n\) of Hawkes process
- Limit theorems for an extended inverse Hawkes process with general exciting functions
- A GENERALIZED CONTAGION PROCESS WITH AN APPLICATION TO CREDIT RISK
- Functional central limit theorems for stationary Hawkes processes and application to infinite-server queues
- Non-parametric estimation of the spiking rate in systems of interacting neurons
- Stability results for a general class of interacting point processes dynamics, and applications
- Interacting Hawkes processes with multiplicative inhibition
- Alternative asymptotic inference theory for a nonstationary Hawkes process
- Mean-field limit of age and leaky memory dependent Hawkes processes
- Mean field limits for nonlinear spatially extended Hawkes processes with exponential memory kernels
- Limit theorems for discrete Hawkes processes
- Multi-class oscillating systems of interacting neurons
- Stability for Hawkes processes with inhibition
- Some asymptotic results for nonlinear Hawkes processes
- Constant proportion portfolio insurance strategies in contagious markets
- An extension of Hawkes processes with ephemeral nearest effects
- Inference of multivariate exponential Hawkes processes with inhibition and application to neuronal activity
- Quasi-likelihood analysis for marked point processes and application to marked Hawkes processes
- Moderate deviations for marked Hawkes processes
- Study of discrete-time Hawkes process and its compensator
- Efficient simulation of Lévy-driven point processes
- Limit theorems for a discrete-time marked Hawkes process
- Asymptotic distribution of the score test for detecting marks in Hawkes processes
- Statistical inference for ergodic point processes and application to limit order book
- State-dependent Hawkes processes and their application to limit order book modelling
- Microscopic approach of a time elapsed neural model
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