Limit theorems for Hawkes processes including inhibition-Reference-Cited by-同舟云学术

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Limit theorems for Hawkes processes including inhibition

Published:2022-07 Issue: Volume:149 Page:404-426
ISSN:0304-4149
Container-title:Stochastic Processes and their Applications
language:en
Short-container-title:Stochastic Processes and their Applications

Author:

Cattiaux Patrick,Colombani Laetitia^ORCID,Costa Manon

Publisher

Elsevier BV

Subject

Applied Mathematics,Modeling and Simulation,Statistics and Probability

Reference29 articles.

1. Applied Probability and Queues;Asmussen,2003

2. Some limit theorems for Hawkes processes and application to financial statistics;Bacry;Stochastic Process. Appl.,2013

3. Hawkes model for price and trades high-frequency dynamics;Bacry;Quant. Finance,2014

4. Large deviations of poisson cluster processes;Bordenave;Stoch. Models,2007

5. Stability of nonlinear hawkes processes;Brémaud;Ann. Probab.,1996

Cited by 4 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. (Almost) complete characterization of the stability of a discrete-time Hawkes process with inhibition and memory of length two;Journal of Applied Probability;2024-05-24

2. A Hawkes model with CARMA(p,q) intensity;Insurance: Mathematics and Economics;2024-05

3. Asymptotic deviation bounds for cumulative processes;Stochastic Processes and their Applications;2023-09

4. A Hawkes Model with Carma(P,Q) Intensity;2023

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