Journal of Applied Probability
- J. Appl. Probab.
- Volume 50, Number 3 (2013), 760-771.
Central limit theorem for nonlinear Hawkes processes
The Hawkes process is a self-exciting point process with clustering effect whose intensity depends on its entire past history. It has wide applications in neuroscience, finance, and many other fields. In this paper we obtain a functional central limit theorem for the nonlinear Hawkes process. Under the same assumptions, we also obtain a Strassen's invariance principle, i.e. a functional law of the iterated logarithm.
J. Appl. Probab., Volume 50, Number 3 (2013), 760-771.
First available in Project Euclid: 5 September 2013
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Zhu, Lingjiong. Central limit theorem for nonlinear Hawkes processes. J. Appl. Probab. 50 (2013), no. 3, 760--771. doi:10.1239/jap/1378401234. https://projecteuclid.org/euclid.jap/1378401234