Limit Theorems for Marked Hawkes Processes with Application to a Risk Model

Dmytro Karabash; Lingjiong Zhu

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arXiv · 1211.4039

Limit Theorems for Marked Hawkes Processes with Application to a Risk Model

Dmytro Karabash·Lingjiong Zhu

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Abstract

This paper focuses on limit theorems for linear Hawkes processes with random marks. We prove a large deviation principle, which answers the question raised by Bordenave and Torrisi. A central limit theorem is also obtained. We conclude with an example of application in finance.

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BibTeX RIS

Dmytro Karabash, Lingjiong Zhu. 2012-11-16. Limit Theorems for Marked Hawkes Processes with Application to a Risk Model. https://arxiv.org/abs/1211.4039

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