Explicit correlations for the Hawkes processes

Caroline Hillairet; Anthony Reveillac

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arXiv · 2304.02376

Explicit correlations for the Hawkes processes

Caroline Hillairet·Anthony Reveillac

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Abstract

In this paper we fill a gap in the literature by providing exact and explicit expressions for the correlation of general Hawkes processes together with its intensity process. Our methodology relies on the Poisson imbedding representation and on recent findings on Malliavin calculus and pseudo-chaotic representation for counting processes.

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Caroline Hillairet, Anthony Reveillac. 2023-04-05. Explicit correlations for the Hawkes processes. https://arxiv.org/abs/2304.02376

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