Integration by parts formulas for marked Hawkes processes
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Publication:1726791
DOI10.1016/j.spl.2018.10.003zbMath1407.60071OpenAlexW2897418856MaRDI QIDQ1726791
Publication date: 20 February 2019
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2018.10.003
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Cites Work
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- GREEKS FORMULAS FOR AN ASSET PRICE MODEL WITH GAMMA PROCESSES
- Rate of convergence to equilibrium of marked Hawkes processes
- A cluster process representation of a self-exciting process
- An Introduction to the Theory of Point Processes
- Spectra of some self-exciting and mutually exciting point processes
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