Limit Theorems for Marked Hawkes Processes with Application to a Risk Model
Probability
2015-09-15 v3
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.
Keywords
Cite
@article{arxiv.1211.4039,
title = {Limit Theorems for Marked Hawkes Processes with Application to a Risk Model},
author = {Dmytro Karabash and Lingjiong Zhu},
journal= {arXiv preprint arXiv:1211.4039},
year = {2015}
}
Comments
14 pages