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

作者：Karabash Dmytro; Zhu Lingjiong^*

来源：Stochastic Models, 2015, 31(3): 433-451.

DOI：10.1080/15326349.2015.1024868

• Hawkes processes
• Central limit theorem
• Large deviations
• Self-exciting processes
• Marked point processes

This article 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.

• 出版日期2015-7-3