Moderate deviations for marked Hawkes processes

DOI10.1007/s10114-017-6433-7zbMath1375.60094OpenAlexW2734655722MaRDI QIDQ1682738

Youngsoo Seol

Publication date: 5 December 2017

Published in: Acta Mathematica Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10114-017-6433-7

zbMATH Keywords

large deviationsHawkes processesself-exciting processesmoderate deviation principlesmarked Hawkes processes

Mathematics Subject Classification ID

Large deviations (60F10) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items (8)

Moderate deviations for multivariate Hawkes processes ⋮ Unnamed Item ⋮ Asymptotic results for a class of Markovian self-exciting processes ⋮ Unnamed Item ⋮ Large and moderate deviations for a discrete-time marked Hawkes process ⋮ Moderate deviations for a Hawkes-type risk model with arbitrary dependence between claim sizes and waiting times ⋮ Asymptotics for Hawkes processes with large and small baseline intensities ⋮ Limit theorems for an inverse Markovian Hawkes process

Cites Work

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