Limit theorems for Markovian Hawkes processes with a large initial intensity

Author:

Gao Xuefeng,Zhu Lingjiong

Funder

Hong Kong RGC ECS

CUHK Direct Grants for Research

NSF

Publisher

Elsevier BV

Subject

Applied Mathematics,Modelling and Simulation,Statistics and Probability

Reference37 articles.

1. Stopping times and tightness. II;Aldous;Ann. Probab.,1989

2. Scaling limits for Hawkes processes and application to financial statistics;Bacry;Stochastic Process. Appl.,2013

3. Hawkes processes in finance;Bacry;Market Microstructure and Liquidity,2015

4. Convergence of Probability Measures;Billingsley,1999

5. Large deviations of Poisson cluster processes;Bordenave;Stoch. Models,2007

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