Process-Level Large Deviations for Nonlinear Hawkes Point Processes

Lingjiong Zhu

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arXiv · 1108.2431

Process-Level Large Deviations for Nonlinear Hawkes Point Processes

Lingjiong Zhu

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Abstract

In this paper, we prove a process-level, also known as level-3 large deviation principle for a very general class of simple point processes, i.e. nonlinear Hawkes process, with a rate function given by the process-level entropy, which has an explicit formula.

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Lingjiong Zhu. 2011-08-11. Process-Level Large Deviations for Nonlinear Hawkes Point Processes. https://arxiv.org/abs/1108.2431

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