Normal approximation of compound Hawkes functionals

DOI10.1007/s10959-022-01233-6arXiv2209.03621OpenAlexW4313656118MaRDI QIDQ6204793

Anthony Réveillac, Nicolas Privault, Mahmoud Khabou

Publication date: 2 April 2024

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2209.03621

zbMATH Keywords

Malliavin calculusStein's methodnormal approximationHawkes processes

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Stochastic calculus of variations and the Malliavin calculus (60H07) Random measures (60G57) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

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