Exponential ergodicity for diffusions with jumps driven by a Hawkes process
From MaRDI portal
Publication:4989959
DOI10.1090/tpms/1129zbMath1477.60075arXiv1904.06051OpenAlexW3097841713WikidataQ115545790 ScholiaQ115545790MaRDI QIDQ4989959
Sarah Lemler, Charlotte Dion, Eva Löcherbach
Publication date: 27 May 2021
Published in: Theory of Probability and Mathematical Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1904.06051
ergodicitypiecewise deterministic Markov processesFoster-Lyapunov drift criteriadiffusions with jumps\( \beta \)-mixingnonlinear Hawkes process
Central limit and other weak theorems (60F05) Continuous-time Markov processes on general state spaces (60J25) Diffusion processes (60J60) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)
Related Items
Quasi-likelihood analysis for marked point processes and application to marked Hawkes processes, On the nonparametric inference of coefficients of self-exciting jump-diffusion, Multivariate Hawkes processes on inhomogeneous random graphs
Cites Work
- Hawkes processes on large networks
- Qualitative properties of certain piecewise deterministic Markov processes
- Ergodicity and exponential \(\beta\)-mixing bounds for multidimensional diffusions with jumps
- On Nummelin splitting for continuous time Harris recurrent Markov processes and application to kernel estimation for multi-dimensional diffusions
- Subgeometric rates of convergence of \(f\)-ergodic strong Markov processes
- Asymptotic analysis of hedging errors in models with jumps
- On polynomial mixing bounds for stochastic differential equations
- LAN property for ergodic diffusions with discrete observations
- Nonparametric drift estimation for diffusions with jumps driven by a Hawkes process
- Stability for Hawkes processes with inhibition
- Statistical inference for ergodic point processes and application to limit order book
- Some limit theorems for Hawkes processes and application to financial statistics
- Stability of nonlinear Hawkes processes
- First- and Second-Order Statistics Characterization of Hawkes Processes and Non-Parametric Estimation
- Stability of Markovian processes III: Foster–Lyapunov criteria for continuous-time processes
- Lévy Processes and Stochastic Calculus
- Stability of Markovian processes I: criteria for discrete-time Chains
- Statistical Models for Birth and Death on a Flow: Local Absolute Continuity and Likelihood Ratio Processes
- Hawkes processes with variable length memory and an infinite number of components
- Polynomial deviation bounds for recurrent Harris processes having general state space
- A construction of markov processes by piecing out
- Spectra of some self-exciting and mutually exciting point processes
- On Subexponential Mixing Rate for Markov Processes
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
