Limit properties of continuous self-exciting processes

DOI10.1016/J.SPL.2019.108558zbMath1454.60064OpenAlexW2965944811MaRDI QIDQ2273724

Geon Ho Choe, Gun-hee Kim

Publication date: 25 September 2019

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2019.108558

zbMATH Keywords

Brownian motionHawkes processlimit propertyself exciting process

Mathematics Subject Classification ID

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

Cites Work

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