On the Hawkes Process with Different Exciting Functions
The Hawkes process is a simple point process, whose intensity function depends on the entire past history and is self-exciting and has the clustering property. The Hawkes process is in general non-Markovian. The linear Hawkes process has immigration-birth representation. Based on that, Fierro et al. recently introduced a generalized linear Hawkes model with different exciting functions. In this paper, we study the convergence to equilibrium, large deviation principle, and moderate deviation principle for this generalized model. This model also has connections to the multivariate linear Hawkes process. Some applications to finance are also discussed.
Year of publication: |
2014-03
|
---|---|
Authors: | Mehrdad, Behzad ; Zhu, Lingjiong |
Institutions: | arXiv.org |
Saved in:
freely available
Saved in favorites
Similar items by person
-
Ruin Probabilities for Risk Processes with Non-Stationary Arrivals and Subexponential Claims
Zhu, Lingjiong, (2013)
-
Optimal Strategies for a Long-Term Static Investor
Zhu, Lingjiong, (2013)
-
Ruin probabilities for risk processes with non-stationary arrivals and subexponential claims
Zhu, Lingjiong, (2013)
- More ...