Explicit correlations for the Hawkes processes

Hillairet, Caroline

doi:10.1080/17442508.2025.2603365

2025-12-01

PRE

Hillairet, Caroline *

Reveillac, Anthony

DOI：10.1080/17442508.2025.2603365

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摘要

En 中文

本文提供了广义Hawkes过程及其强度过程的精确且显式的相关性表达式。我们的方法依赖于Poisson嵌入表示，以及关于计数过程的Malliavin微积分和伪混沌表示的最新发现。

Keyword:

Hawkes processes

Poisson imbedding representation

Malliavin calculus

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STOCHASTICS-AN INTERNATIONAL JOURNAL OF PROBABILITY AND STOCHASTIC PROCESSES

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0.9

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centre national de la recherche scientifique (cnrs)

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24.5W

论文数: 18.2W

被引数: 279

cnrs - institute for humanities & social sciences (inshs)

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