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arXiv · 1702.02962

Precise deviations for Hawkes processes

Fuqing Gao·Lingjiong Zhu
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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. 2017-02-09. Precise deviations for Hawkes processes. https://arxiv.org/abs/1702.02962

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