Self-exciting jump processes and their asymptotic behaviour

DOI10.1080/17442508.2022.2028789zbMath1499.60283arXiv2006.16663OpenAlexW3040581380MaRDI QIDQ5056593

Heidar Eyjolfsson, Kristina Rognlien Dahl

Publication date: 8 December 2022

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2006.16663

zbMATH Keywords

stochastic differential equationsasymptotic behaviourjump processesintensity processself-exciting stochastic processes

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Jump processes on general state spaces (60J76)

Related Items (1)

Multivariate self-exciting jump processes with applications to financial data

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