Moderate deviations for Hawkes processes
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Publication:1950721
DOI10.1016/j.spl.2012.12.011zbMath1266.60090OpenAlexW2075321234MaRDI QIDQ1950721
Publication date: 13 May 2013
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2012.12.011
Related Items (25)
Limit theorems for Markovian Hawkes processes with a large initial intensity ⋮ Some asymptotic results for nonlinear Hawkes processes ⋮ Moderate deviations for multivariate Hawkes processes ⋮ Limit Theorems for a Cox-Ingersoll-Ross Process with Hawkes Jumps ⋮ Limit Theorems for Marked Hawkes Processes with Application to a Risk Model ⋮ Asymptotic ruin probabilities for a bidimensional risk model with heavy-tailed claims and non-stationary arrivals ⋮ Limit theorems for the compensator of Hawkes processes ⋮ Unnamed Item ⋮ Moderate deviations for marked Hawkes processes ⋮ Asymptotic results for a class of Markovian self-exciting processes ⋮ Diffusion approximation of a risk model with non-stationary Hawkes arrivals of claims ⋮ Unnamed Item ⋮ Large and moderate deviations for a discrete-time marked Hawkes process ⋮ Limit theorems for an extended inverse Hawkes process with general exciting functions ⋮ Large deviations and applications for Markovian Hawkes processes with a large initial intensity ⋮ Asymptotic analysis for affine point processes with large initial intensity ⋮ Precise deviations for Hawkes processes ⋮ Limit theorems for inverse process \(T_n\) of Hawkes process ⋮ Asymptotics for Hawkes processes with large and small baseline intensities ⋮ Limit properties of continuous self-exciting processes ⋮ Limit theorems for an inverse Markovian Hawkes process ⋮ Functional central limit theorems for stationary Hawkes processes and application to infinite-server queues ⋮ Functional central limit theorems and moderate deviations for Poisson cluster processes ⋮ Large deviations for Markovian nonlinear Hawkes processes ⋮ Limit theorems for discrete Hawkes processes
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