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September 2013 Central limit theorem for nonlinear Hawkes processes
Lingjiong Zhu
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J. Appl. Probab. 50(3): 760-771 (September 2013). DOI: 10.1239/jap/1378401234

Abstract

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.

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Lingjiong Zhu. "Central limit theorem for nonlinear Hawkes processes." J. Appl. Probab. 50 (3) 760 - 771, September 2013. https://doi.org/10.1239/jap/1378401234

Information

Published: September 2013
First available in Project Euclid: 5 September 2013

zbMATH: 1306.60015
MathSciNet: MR3102513
Digital Object Identifier: 10.1239/jap/1378401234

Subjects:
Primary: 60F05, 60G55

Rights: Copyright © 2013 Applied Probability Trust

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Vol.50 • No. 3 • September 2013
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