Functional limit theorems for nonstationary marked Hawkes processes in the high intensity regime
type: Item
instance of: scholarly article
title: Functional limit theorems for nonstationary marked Hawkes processes in the high intensity regime
zbMATH Open document ID: 1480.60075
author: Bo Li
author: Guodong Pang
published in: Stochastic Processes and their Applications
publication date: 2021-12-14T00:00:00Z
Mathematics Subject Classification ID: 60F17
Mathematics Subject Classification ID: 60F15
Mathematics Subject Classification ID: 60G55
Mathematics Subject Classification ID: 60J80
zbMATH DE Number: 7444679
zbMATH Keywords: marked Hawkes process
zbMATH Keywords: non-stationarity
zbMATH Keywords: high intensity asymptotic regime
zbMATH Keywords: immigration-birth representation
zbMATH Keywords: functional limit theorems
zbMATH Keywords: continuous Gaussian processes
MaRDI profile type: Publication
Wikidata QID: Q113863847
full work available at URL: j.spa.2021.10.008
OpenAlex ID: W3209754967
cites work: Some limit theorems for Hawkes processes and application to financial statistics
cites work: Mean-field inference of Hawkes point processes
cites work: Q4888858
cites work: Q4269108
cites work: Stability of nonlinear Hawkes processes
cites work: Power spectra of general shot noises and Hawkes point processes with a random excitation
cites work: Rate of convergence to equilibrium of marked Hawkes processes
cites work: Fluctuations for mean-field interacting age-dependent Hawkes processes
cites work: Mean-field limit of generalized Hawkes processes
cites work: Mean field limits for nonlinear spatially extended Hawkes processes with exponential memory kernels
cites work: An Introduction to the Theory of Point Processes
cites work: Queues Driven by Hawkes Processes
cites work: Functional large deviations for Cox processes and \(Cox / G / \infty\) queues, with a biological application
cites work: Hawkes processes on large networks
cites work: Epidemic Models with Varying Infectivity
cites work: Functional central limit theorems for stationary Hawkes processes and application to infinite-server queues
cites work: Large deviations and applications for Markovian Hawkes processes with a large initial intensity
cites work: Limit theorems for Markovian Hawkes processes with a large initial intensity
cites work: Some asymptotic results for nonlinear Hawkes processes
cites work: Q5649230
cites work: Spectra of some self-exciting and mutually exciting point processes
cites work: A cluster process representation of a self-exciting process
cites work: Functional limit theorems for marked Hawkes point measures
cites work: Limit theorems for nearly unstable Hawkes processes
cites work: Rough fractional diffusions as scaling limits of nearly unstable heavy tailed Hawkes processes
cites work: Limit Theorems for Marked Hawkes Processes with Application to a Risk Model
cites work: Infinite-server queues with Hawkes input
cites work: Shot noise processes with randomly delayed cluster arrivals and dependent noises in the large-intensity regime
cites work: Spiking neurons : interacting Hawkes processes, mean field limits and oscillations
cites work: The Markovian self-exciting process
cites work: Functional limit theorems for a new class of non-stationary shot noise processes
cites work: Functional Limit Theorems for Shot Noise Processes with Weakly Dependent Noises
cites work: A functional limit theorem for stochastic integrals driven by a time-changed symmetric \(\alpha\)-stable Lévy process
cites work: Q3996827
cites work: Stochastic-Process Limits
cites work: Central limit theorem for nonlinear Hawkes processes
DOI: 10.1016/J.SPA.2021.10.008
description: scientific article; zbMATH DE number 7444679