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

By Dmytro Karabash, Lingjiong Zhu. 2012

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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.

Subfields: Applied Mathematics

View Paper: https://www.semanticscholar.org/paper/0c4fa97ecc713409478a349dd5d9a64c6d6665b8