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February 2021 Precise deviations for Hawkes processes
Fuqing Gao, Lingjiong Zhu
Bernoulli 27(1): 221-248 (February 2021). DOI: 10.3150/20-BEJ1235

Abstract

Hawkes process is a class of simple point processes with self-exciting and clustering properties. Hawkes process has been widely applied in finance, neuroscience, social networks, criminology, seismology, and many other fields. In this paper, we study precise deviations for Hawkes processes for large time asymptotics, that strictly extends and improves the existing results in the literature. Numerical illustrations will also be provided.

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Fuqing Gao. Lingjiong Zhu. "Precise deviations for Hawkes processes." Bernoulli 27 (1) 221 - 248, February 2021. https://doi.org/10.3150/20-BEJ1235

Information

Received: 1 April 2019; Revised: 1 March 2020; Published: February 2021
First available in Project Euclid: 20 November 2020

zbMATH: 07282849
MathSciNet: MR4177368
Digital Object Identifier: 10.3150/20-BEJ1235

Rights: Copyright © 2021 Bernoulli Society for Mathematical Statistics and Probability

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Vol.27 • No. 1 • February 2021
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